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題名:股價指數期貨之避險比率與避險效益
書刊名:管理研究學報
作者:余尚武 引用關係賴昌作
作者(外文):Yu, Shang-wuLai, Chung-juo
出版日期:2001
卷期:1:1
頁次:頁1-31
主題關鍵詞:避險比率避險效益OLS-CIGARCHHedge ratioHedging effectiveness
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(6) 博士論文(2) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:6
  • 共同引用共同引用:0
  • 點閱點閱:19
期刊論文
1.Park, Tae H.、Switzer, Lorne N.(1995)。Time-Varying Distributions and the Optimal Hedge Ratios for Stock Index Futures。Applied Financial Economics,5(3),131-137。  new window
2.Hiraki, Takato、Maberly, Edwin D.、Takezawa, Nobuya(1995)。The information content of end-of-the-day index futures returns: International evidence from the Osaka Nikkei 225 futures contract。Journal of Banking and Finance,19,921-936。  new window
3.Baillie, R. T.、Myers, R. J.(1991)。Bivariate GARCH Estimation of the Optimal Commodity Futures Hedge。Journal of Applied Econometrics,6(2),109-124。  new window
4.Gagnon, L.、Lypny, G.(1995)。Hedging Short-term Interest Risk Under Time-Varying Distributions。Journal of Futures Markets,15(7),767-783。  new window
5.Iihara, Yoshio、Kato, Kiyoshi、Tokunaga, Toshifumi(1996)。Intraday Return Dynamics between the Cash and the Futures Markets in Japan。Journal of Futures Markets,16(2),147-162。  new window
6.Najand, M.、Yung, K.(1994)。Conditional Heteroskedasticity and the Weekend Effect in S&P 500 Index Futures。Journal of Business Finance and Accounting,21(4),603-612。  new window
7.Kroner, K. F.、Sultan, J.(1993)。Time Varying Distribution and Dynamic Hedging with Foreign Currency Future。Journal of Financial and Quantitative Analysis,28,535-551。  new window
8.Kroner, K. F.、Sultan, J.(1991)。Exchange Rate Volatility and Time Varying Hedge Ratios。Pacific-Basic Capital Market Research,2,397-412。  new window
9.Abhyankar, Abhay H.(1995)。Return and volatility dynamics in the FT-SE 100 stock index and stock index futures markets。The Journal of Futures Markets,15(4),457-488。  new window
10.Bemdt, E. K.、Hall, B. H.、Hausman, J. A.(1974)。Estimation Inference in Nonlinear Structural Model。Annuals of Economic and Social Measurement,4,653-665。  new window
11.Cecchetti, S. G.、Cumby, R. E.、Figlewski, S.(1988)。Estimation of Optimal Futures Hedge。Review of Economics and Statistics,70,623-630。  new window
12.Dickey, D. A.、Fuller, W. A.(1979)。Distribution of the Estimates for Autoregressive Time Series with Unit Root。Journal of the American Statistical Association,74(366),427-431。  new window
13.Ghosh, Asim(1993)。Hedging with Stock Index Futures: Estimation and Forecasting with Error Correction Model。Journal of Futures Markets,13(7),743-752。  new window
14.Hill, Joanne、Schneeweis, T.(1981)。A Note on the Hedging Effectiveness of Foreign Currency Futures。Journal of Future Markets,1(4),659-664。  new window
15.Tong, Wilson H. S.(1996)。An Examination of Dynamic Hedging。Journal of International Money and Finance,15(1),19-35。  new window
16.Witt, H. J.、Schroeder, T. C.、Hayenga, M. L.(1987)。Comparison of Analytical Approaches for Estimating Hedge Ratios for Agricultural Commodities。Journal of Futures Markets,7(2),135-146。  new window
17.Granger, C. W. J.(1981)。Some Properties of Time Series Data and Their Use in Econometric Model Specification。Journal of Econometrics,16(1),121-130。  new window
18.Dickey, David A.、Fuller, Wayne A.(1981)。Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root。Econometrica: journal of the Econometric Society,49(4),1057-1072。  new window
19.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
20.Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica,55(2),251-276。  new window
21.Chan, Kalok、Chan, K. C.、Karolyi, G. Andrew(1991)。Intraday Volatility in the Stock Index and Stock Index Futures Markets。The Review of Financial Studies,4(4),657-684。  new window
22.Ederington, Louis H.(1979)。The Hedging Performance of the New Futures Markets。Journal of Finance,34(1),157-170。  new window
23.Johnson, Leland L.(1960)。The Theory of Hedging and Speculation in Commodity Futures。The Review of Economic Studies,27(3),139-151。  new window
24.Koutmos, G.、Pericli, A.(1999)。Hedging GNMA Mortgage-Backed Securities with T-Note Futures: Dynamic versus Static Hedging。Real Estate Economics,27(2),335-363。  new window
25.Granger, Clive William John、Newbold, Paul(1974)。Spurious Regressions in Econometrics。Journal of econometrics,2(2),111-120。  new window
26.Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1008。  new window
學位論文
1.叢宏文(1996)。日經股價指數期貨避險效果之實證研究:GARCH模型之應用(碩士論文)。國立政治大學。  延伸查詢new window
2.王俞瓔(1998)。股價指數期貨與現貨市場之關聯性及避險效率(碩士論文)。國立台灣工業技術學院。  延伸查詢new window
3.張哲宇(1997)。股價指數期貨避險比率之研究(碩士論文)。國立台灣工業技術學院。  延伸查詢new window
 
 
 
 
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