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題名:Frequency Connectedness of Oil-sensitive Stock Volatility, Information Uncertainty, and Oil Futures Returns
書刊名:期貨與選擇權學刊
作者:李修全李昀寰戴治中
作者(外文):Lee, Hsiu-chuanLee, Yun-huanTai, Chih-chung
出版日期:2020
卷期:13:3
頁次:頁37-84
主題關鍵詞:頻率連動性波動石油報酬不確定性訊息Frequency connectednessVolatilityOil returnsUncertain information
原始連結:連回原系統網址new window
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  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:0
  • 共同引用共同引用:0
  • 點閱點閱:6
期刊論文
1.Arouri, Mohamed El Hedi、Nguyen, Duc Khuong(2010)。Oil Prices, Stock Markets and Portfolio Investment: Evidence from Sector Analysis in Europe over the Last Decade。Energy Policy,38(8),4528-4539。  new window
2.Vo, M.(2011)。Oil and stock market volatility A multivariate stochastic volatility perspective。Energy Economucs,33,956-965。  new window
3.Arouri, Mohamed El Hedi、Jouini, Jamel、Nguyen, Duc Khuong(2011)。Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management。Journal of International Money and Finance,30(7),1387-1405。  new window
4.Zhou, X.、Zhang, W.、Zhang, J.(2012)。Volatility spillovers between the Chinese and world equity markets。Pacific-Basin Finance Journal,20(2),247-270。  new window
5.Kilian, Lutz、Vega, Clara(2011)。Do Energy Prices Respond to U.S. Macroeconomic News? A Test of the Hypothesis of Predetermined Energy Prices。The Review of Economics and Statistics,93,660-671。  new window
6.Chen, Shiu-Sheng(2014)。Forecasting Crude Oil Price Movements with Oil-Sensitive Stocks。Economic Inquiry,52(2),830-844。  new window
7.Brown, K. C.、Harlow, W. V.、Tinic, S. M.(1988)。Risk aversion, uncertain information, and market efficiency。Journal of Financial Economics,22(2),355-385。  new window
8.Basher, S. A.、Haug, A. A.、Sadorsky, P.(2012)。Oil prices, exchange rates and emerging stock markets。Energy Economics,34(1),227-240。  new window
9.Petmezas, D.、Santamaria, D.(2014)。Investor induced contagion during the banking and European sovereign debt crisis of 2007-2012: Wealth effect or portfolio rebalancing?。Journal of International Money and Finance,49,401-424。  new window
10.Diebold, Francis X.、Yilmaz, Kamil(2014)。On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms。Journal of Econometrics,182(1),119-134。  new window
11.Sadorsky, Perry(1999)。Oil Price Shocks and Stock Market Activity。Energy Economics,21(5),449-469。  new window
12.Pesaran, Hashem H.、Shin, Yongcheol(1998)。Generalized impulse response analysis in linear multivariate models。Economic Letters,58(1),17-29。  new window
13.Baruník, Jozef、Křehlík, Tomáš(2018)。Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk。Journal of Financial Econometrics,16(2),271-296。  new window
14.Faff, R. W.、Brailsford, T. J.(1999)。Oil Price Risk and the Australian Stock Market。Journal of Energy Finance and Development,4(1),69-87。  new window
15.Andrikopoulos, A.、Angelidis, T.、Skintzi, V.(2014)。Illiquidity, Return and Risk in G7 Stock Markets: Interdependencies and Spillovers。International Review of Financial Analysis,35,118-127。  new window
16.Beetsma, R.、Giuliodori, M.、de Jong, F.、Widijanto, D.(2016)。Price Effects of Sovereign Debt Auctions in the Euro-Zone: The Role of the Crisis。Journal of Financial Intermediation,25,30-53。  new window
17.Ciner, C.、Gurdgiev, C.、Lucey, B. M.(2013)。Hedges and Safe Havens: An Examination of Stocks, Bonds, Gold, Oil and Exchange Rates。International Review of Financial Analysis,29,202-211。  new window
18.Demirer, M.、Diebold, F. X.、Liu, L.、Yilmaz, K.(2017)。Estimating Global Bank Network Connectedness。Journal of Applied Econometrics,33,1-15。  new window
19.Dew-Becker, I.、Giglio, S.(2016)。Asset Pricing in the Frequency Domain: Theory and Empirics。The Review of Financial Studies,29,2029-2068。  new window
20.Diebold, Francis X.、Yilmaz, Kamil(2016)。Trans-Atlantic Equity Volatility Connectedness: U.S., European Financial Institutions, 2004-2014。Journal of Financial Econometrics,14(1),81-127。  new window
21.Du, L.、He, Y.(2015)。Extreme Risk Spillovers between Crude Oil and Stock Markets。Energy Economics,51,455-465。  new window
22.Ding, H.、Kim, H. G.、Park, S. Y.(2016)。Crude Oil and Stock Markets: Causal Relationships in Tails?。Energy Economics,59,58-69。  new window
23.Hansen, B.(2017)。Regression Kink with a Unknown Threshold。Journal of Business & Economic Statistics,35(2),228-240。  new window
24.Křehlík, T.、Baruník, J.(2017)。Cyclical Properties of Supply-Side and Demand-Side Shocks in Oil-Based Commodity Markets。Energy Economics,65,208-218。  new window
25.Ma, Y. R.、Zhang, D.、Ji, Q.、Pan, J.(2019)。Spillovers between Oil and Stock Returns in the U.S. Energy Sector: Does Idiosyncratic Information Matter?。Energy Economics,81,536-544。  new window
26.Liow, K. H.(2015)。Volatility Spillover Dynamics and Relationship Across G7 Financial Markets。The North American Journal of Economics and Finance,33,328-365。  new window
27.Stiassny, A.(1996)。A Spectral Decomposition for Structural VAR Models。Empirical Economics,21,535-555。  new window
28.Ross, Stephen A.(1989)。Information and Volatility: The No-arbitrage Martingale Approach to Timing and Resolution Irrelevancy。The Journal of Finance,44(1),1-17。  new window
29.Diebold, Francis X.、Yilmaz, Kamil(2009)。Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets。Economic Journal,119(534),158-171。  new window
30.Diebold, Francis X.、Yilmaz, Kamil(2012)。Better to Give than to Receive: Predictive Directional Measurement of Volatility Spillovers。International Journal of Forecasting,28(1),57-66。  new window
31.Parkinson, Michael(1980)。The extreme value method for estimating the variance of the rate of return。Journal of Business,53(1),61-65。  new window
 
 
 
 
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