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題名:驗證中國CFX指數、美國NYSE指數與臺灣TAIFEX指數之報酬率與風險對投資者之影響--以分位數Grach & EGarch回歸模式
書刊名:臺灣銀行季刊
作者:張麗娟吳淑惠王國徽梁立聰
出版日期:2021
卷期:72:1
頁次:頁71-92
主題關鍵詞:ARCH模型Garch模型EGarch模型單根檢定報酬率風險值
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)
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  • 共同引用共同引用:2
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期刊論文
1.蘇榮斌、黃孟祥(2008)。風險值之預測:以台灣、韓國、新加坡及馬來西亞等國家股票市場為例。中華技術學院學報,39,181-198。  延伸查詢new window
2.Said, S. E.、Dickey, D. A.(1984)。Testing for Unit Roots in Autoregressive: Moving Average Model of Unknown Order。Biometrika,71(3),599-607。  new window
3.Perron, P.、Ng, S.(1996)。Useful Modifications to some Unit Root Tests with Dependent Errors and Their Local Asymptotic Properties。The Review of Economic Studies,63(3),435-463。  new window
4.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
5.Engle, Robert F.、Granger, Clive W. J.(1987)。Co-integration and Error Correction: Representation, Estimation, and Testing。Econometrica: Journal of the Econometric Society,55(2),251-276。  new window
6.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
7.Bollerslev, Tim(1987)。A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return。The Review of Economics and Statistics,69(3),542-547。  new window
8.徐美、莊奕琦、陳晏羚(20150400)。臺灣家戶所得不均度來源分析初探。社會科學論叢,9(1),1-31。new window  延伸查詢new window
9.Kwiatkowski, Denis、Phillips, Peter C. B.、Schmidt, Peter、Shin, Yongcheol(1992)。Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root?。Journal of Econometrics,54(1-3),159-178。  new window
10.Granger, Clive William John、Newbold, Paul(1974)。Spurious Regressions in Econometrics。Journal of econometrics,2(2),111-120。  new window
11.Phillips, Peter C. B.、Perron, Pierre(1988)。Testing for a unit root in time series regression。Biometrika,75(2),335-346。  new window
12.Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1008。  new window
13.Nelson, Daniel B.(1991)。Conditional Heteroskedasticity in Asset Returns: A New Approach。Econometrica: Journal of the Econometric Society,59(2),347-370。  new window
學位論文
1.林浩凡(2002)。指數期貨買賣價差日內型態與決定因素之探討(碩士論文)。國立高雄第一科技大學。  延伸查詢new window
2.周玉驕(2016)。金融商品市場風險研究與實證分析(碩士論文)。國立清華大學。  延伸查詢new window
3.柯博倫(2010)。風險值之估計-GARCH模型之應用(碩士論文)。國立臺灣大學。  延伸查詢new window
4.楊宗翰(2016)。台灣實質匯率與所得不均關係之探討(碩士論文)。國立高雄大學。  延伸查詢new window
 
 
 
 
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