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題名:美國存託憑證與其標的股票之波動性--跳躍與門檻自我迴歸模型之應用
書刊名:輔仁管理評論
作者:蘇欣玫鄒易凭 引用關係鄭婉秀
作者(外文):Su, Hsin-meiTzou, Yi-pinCheng, Wan-hsiu
出版日期:2007
卷期:14:2
頁次:頁27-45
主題關鍵詞:ARJI模型偏態t分配門檻自我迴歸模型跳躍頻率美國存託憑證ARJI modelSkewed t distributionTAR modelJump intensityADR
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(1) 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:1
  • 共同引用共同引用:25
  • 點閱點閱:27
期刊論文
1.Lieberman, O.、Ben-Zion, U.、Hauser, S.(1999)。A characterization of the price behavior of international dual stocks: an error correction approach。Journal of International Money and Finance,18(2),289-304。  new window
2.黃營杉、李銘章(20050300)。臺灣母公司股票報酬與其ADR報酬間資訊傳遞之研究。東吳經濟商學學報,48,1-32。new window  延伸查詢new window
3.Jayraman, N.、Shastri, K.、Tandon, K.(1993)。The Impact of International Cross Listing on Risk and Retrn: The Evidence from American Depositary Receipts。Journal of Banking and Finance,17(1),91-103。  new window
4.Kim, Harold Y.、Mei, Jianping P.(200112)。What Makes the Stock Market Jump? An Analysis of Political Risk on Hong Kong Stock Returns。Journal of International Money and Finance,20(7),1003-1016。  new window
5.楊聲勇、董澍琦、王澤世、張德立(20050700)。美國存託憑證與其標的股之報酬與波動性的日內動態傳遞研究--以亞洲四小龍為例。經濟與管理論叢,1(2),119-141。new window  延伸查詢new window
6.Chung, H.、Ho, T.-W.、Wei, L.-J.(2005)。The Dynamic Relationship between the Prices of ADRs and their Underlying Stocks: Evidence from the Threshold Vector Error Correction Model。Applied Economics,37(20),2387-2394。  new window
7.Chen, S. Y.、Chou, L. C.、Yang, C. C.(2002)。Price Transmission Effect between GDRs and Their Underlying Stocks--Evidence from Taiwan。Review of Quantitative Finance and Accounting,19(2),181-214。  new window
8.Kim, M.、Szakmary, Andrew C.、Mathur, I.(2000)。Price Transmission Dynamics between ADRs and Their Underlying Foreign Securities。Journal of Banking and Finance,24(8),1359-1382。  new window
9.Wang, S. S.、Rui, O. M.、Firth, M.(2002)。Return and Volatility Behavior of Dually-Traded Stocks: The Case of Hong Kong。Journal of International Money and Finance,21(2),265-293。  new window
10.Rabinovitch, R.、Silva, A. C.、Susmel, R.(2003)。Returns on ADRs and Arbitrage in Emerging Markets。Emerging Markets Review,4(3),225-247。  new window
11.Cook, S.(2003)。A Sensitivity Analysis of Threshold Determination for Asymmetric Error Correction Models。Applied Economics Letters,10,611-616。  new window
12.Cook, S.、Manning, N.(2003)。The power of asymmetric unit root tests under threshold and consistent-threshold estimation。Applied Economics,35,1543-1550。  new window
13.Escribano, A.、Mira, S.(2002)。Nonlinear Error Correction Models。Journal of Time Series Analysis,23,509-522。  new window
14.Oscar, B. R.、Carmen, D. R.、Vicente, E.(2004)。Searching for Threshold Effects in the Evolution of Budget Deficits: An Application to the Spanish Case。Economics Letters,82,239-243。  new window
15.Park, J.、Tavakkol, A.(1994)。Are ADRs a Dollar Translation of Their Underlying Securities?。Journal of International Financial Markets, Institutions and Money,4,77-87。  new window
16.Abdulai, A.(2002)。Using Threshold Cointegration to Estimate Asymmetric Price Transmission in the Swiss Pork Market。Applied Economics,34(6),679-687。  new window
17.Chang, K. H.、Kim, M. J.(2001)。Jumps and time-varying correlations in daily foreign exchange rates。Journal of International Money and Finance,20,611-637。  new window
18.Deidda, L.、Fattouh, B.(2002)。Non-Linearity between Finance and Growth。Economics Letters,74,339-345。  new window
19.Kato, K.、Linn, S.、Schallheim, J.(1991)。Are There Arbitrage Opportunities in the Markets for American Depositary Receipts?。Journal of International Financial Markets, Institutions and Money,1,73-89。  new window
20.Lau, S. T.、Diltz, J. D.(1994)。Stock Returns and the Transfer of Information between the New York and Tokyo Stock Exchanges。Journal of International Money and Finance,13(2),211-222。  new window
21.Sephton, P. S.(2003)。Spatial Market Arbitrage and Threshold Cointegration。American Journal of Agricultural Economics,85,1041-1046。  new window
22.Hansen, Bruce E.、Seo, Byeongseon(2002)。Testing for Two-Regime Threshold Cointegration in Vector Error-Correction Models。Journal of Econometrics,110(2),293-318。  new window
23.Chan, W. H.、Maheu, J. M.(2002)。Conditional Jump Dynamics in Stock Market Returns。Journal of Business and Economic Statistics,20(3),377-389。  new window
24.林丙輝、葉仕國(19990900)。臺灣股票價格非連續跳躍變動與條件異質變異之研究。證券市場發展,11(1)=41,61-92。new window  延伸查詢new window
25.Jorion, P.(1998)。On Jump Processes in the Foreign Exchange and Stock Markets。The Review of Financial Studies,1(4),427-445。  new window
26.Neumark, D.、Tinsley, P. A.、Tosini, S. S.(1991)。After Hours Stock Prices and Post Crash Hangovers。Journal of Finance,46,159-178。  new window
27.Balke, N. S.、Fomby, T. B.(1997)。Threshold Cointegration。International Economic Review,38(3),627-645。  new window
28.Hansen, B. E.(1996)。Inference when a nuisance parameter is not identified under the null hypothesis。Econometrica: Journal of the econometric society,64(2),413-430。  new window
29.Enders, W.、Granger, C. W. J.(1998)。Unit-Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates。Journal of Business and Economic Statistics,16(3),304-311。  new window
30.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
31.Bollerslev, Tim、Chou, Ray Y.、Kroner, Kenneth F.(1992)。ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence。Journal of Econometrics,52(1/2),5-59。  new window
32.Patro, Dilip Kumar(2000)。Return Behavior and Pricing of American Depositary Receipts。Journal of International Financial Markets, Institutions and Money,10(1),43-67。  new window
33.Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1008。  new window
34.Hansen, Bruce E.(1994)。Autoregressive conditional density estimation。International Economic Review,35(3),705-730。  new window
 
 
 
 
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