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題名:不對稱訊息下臺灣股、匯市與美國股市蔓延效果之預測檢定
書刊名:人文暨社會科學期刊
作者:王冠閔
作者(外文):Wang, Kuan-Min
出版日期:2007
卷期:3:1
頁次:頁69-80
主題關鍵詞:不對稱性蔓延效果槓桿效果EGARCH模型動態條件相關模型AsymmetricallyContagion effectLeverage effectEGARCH modelDCC model
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(3) 博士論文(1) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:3
  • 共同引用共同引用:22
  • 點閱點閱:74
期刊論文
1.Erb, C.、Harvey, C. R.、Viskanta, T.(1994)。National risk and global fixed income allocation。Journal of Fixed Income,4(2),17-26。  new window
2.Santis, G.、Gerard, B.(1997)。International Asset Pricing and Portfolio Diversification with Time-varying Risk。Journal of Finance,52,1881-1912。  new window
3.Arestis, P.、Caporale, G.、Cipollini, A.、Spagnolo, N.(2005)。Testing for financial contagion between developed and emerging markets during the 1997 East Asian crisis。International Journal of Finance and Economics,10(4),359-367。  new window
4.Wong, J. C.(2000)。Are changes in spreads of external-market debt also induced by contagion?。Review of International Trade and Development,35(2),72-80。  new window
5.Kaufman, G. G.(2000)。Banking and currency crises and systemic risk: A taxonomy and review。Financial Markets, Institutions and Instruments,9,69-131。  new window
6.Edwards, S.(2000)。Contagion。World Economy,23(7),873-900。  new window
7.Sheng, H. C.、Tu, A. H.(2000)。A Study of Cointegration and Variance Decomposition among Equity Indices before and during the Period of the Asian Financial Crisis。Journal of Multinational Financial Management,10(3),345-365。  new window
8.Lee, S. B.、Kim, K. J.(1993)。Does the October 1987 crash strengthen the co-movements among national stocks markets?。Review of Financial Economics,3,89-102。  new window
9.Forbes, K.(2002)。The Asian flu and the Russian virus: Firm level evidence on how crises are transmitted internationally。Journal of International Economics,63,59-92。  new window
10.Baig, T.、Goldfajn, I.(1999)。Financial Market Contagion in the Asian Crisis。IMF Staff Papers,46,167-195。  new window
11.Forbes, K.、Rigobon, R.(2002)。No contagion, only interdependence: measuring stock market co-movements。Journal of Finance,57(5),2223-2261。  new window
12.Eichengreen, B.、Rose, A. K.、Wyplosz, C.(1996)。Contagious currency crises。Scandinavian Economics Review,98(4),463-484。  new window
13.Nagayasu, J.(2001)。Currency crisis and contagion: evidence from exchange rates and sectoral stock indices of the Philippines and Thailand。Journal of Asian Economics,12(4),529-546。  new window
14.Hamao, Y. R.、Masulis, R. W.、Ng, V. K.(1990)。Correlations in Price Changes and Volatility across International Stock Markets。The Review of Financial Studies,3(2),281-307。  new window
15.Inclan, C.、Tiao, G. C.(1994)。Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance。Journal Of the American Statistical Association,89(427),913-923。  new window
16.王冠閔、黃柏農(20040300)。臺灣股、匯市與美國股市關聯性探討。臺灣經濟預測與政策,34(2),31-72。new window  延伸查詢new window
17.方文碩、王冠閔、董澍琦(20060400)。亞洲金融危機期間股票市場的蔓延效果。管理評論,25(2),61-82。new window  延伸查詢new window
18.Longin, Francois M.、Solnik, Bruno(2001)。Extreme Correlation of International Equity Markets。Journal of Finance,56(2),649-676。  new window
19.Engle, Robert F.、Ng, Victor K.(1993)。Measuring and testing the impact of news on volatility。The Journal of Finance,48(5),1749-1778。  new window
20.Engle, Robert F.(2002)。Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models。Journal of Business & Economic Statistics,20(3),339-350。  new window
21.Bollerslev, Tim(1990)。Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model。The Review of Economics and Statistics,72(3),498-505。  new window
22.Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1008。  new window
23.King, Mervyn A.、Wadhwani, Sushil(1990)。Transmission of Volatility between Stock Markets。The Review of Financial Studies,3(1),5-33。  new window
24.Nelson, Daniel B.(1991)。Conditional Heteroskedasticity in Asset Returns: A New Approach。Econometrica: Journal of the Econometric Society,59(2),347-370。  new window
研究報告
1.Edwards, S.(1998)。Interest Rate Volatility, Capital Controls, and Contagion。  new window
2.Forbes, K.(2001)。Are trade linkages important determinants of country vulnerability to crises?。  new window
3.Ang, A.、Bekaert, G.(1999)。International asset allocation with time-varying correlations。National Bureau of Economic Research, Inc.。  new window
圖書
1.Hamilton, James D.(1994)。Time Series Analysis。Princeton University Press。  new window
單篇論文
1.Das, S.,Uppal, R.(2001)。Systemic risk and international portfolio choice,Harvard University。  new window
 
 
 
 
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