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題名:風暴期間之美股指數動態關係研究
書刊名:數據分析
作者:聶建中李雨純
作者(外文):Nie, Jian-jhongLi, Yu-chun
出版日期:2016
卷期:11:2
頁次:頁117-137
主題關鍵詞:美國三大股價指數金融海嘯時間序列動態關係
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(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:46
  • 點閱點閱:5
期刊論文
1.莊忠柱、王譯賢(20030600)。政黨輪替與股市大崩盤對美國股市股價變動與波動性的影響。東吳經濟商學學報,41,1-24。new window  延伸查詢new window
2.郭敏華、張瑞芬(20031200)。投資人出盈保虧行為偏誤之探討--臺灣與美國股市之比較。東海管理評論,6(1),31-49。new window  延伸查詢new window
3.Osterwald-Lenum, M.(1992)。Practitioner's Corner: A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics。Oxford Bulletin of Economics and Statistics,54(4),461-472。  new window
4.Nieh, C. C.、Lee, C. F.(2001)。Dynamic Relationship Between Stock Prices and Exchange Rates for G-7 Countries。Quarterly Review of Economics and Finance,41(4),477-490。  new window
5.Schwert, G. William(1989)。Tests for Unit Roots: A Monte Carlo Investigation。Journal of Business and Economic Statistics,7(2),147-159。  new window
6.Doldado, Juan J.、Jenkinson, Tim、Sosvilla-Rivero, Simon(1990)。Cointegration and Unit Roots。Journal of Economic Surveys,4,249-273。  new window
7.莊家彰、管中閔(20051200)。臺灣與美國股市價量關係的分量迴歸分析。經濟論文,33(4),379-404。new window  延伸查詢new window
8.Johansen, Søren(1992)。Determination of Cointegration Rank in the Presence of a Linear Trend。Oxford Bulletin of Economics and Statistics,54(3),383-397。  new window
9.Sims, Christopher A.(1980)。Comparison of Interwar and Postwar Business Cycles: Monetarism Reconsidered。American Economic Review,70(2),250-257。  new window
10.Gonzalo, J.(1994)。Five Alternative Methods of Estimating Long-Run Equilibrium Relationships。Journal of Econometrics,60,203-233。  new window
11.Johansen, S.(1994)。The role of the constant and linear terms in cointegration analysis of nonstationary variables。Econometric Reviews,13,205-229。  new window
12.Granger, Clive W. J.(1988)。Some Recent Developments in a Concept of Causality。Journal of Econometrics,39,199-211。  new window
13.Granger, Clive W. J.(1969)。Investigating causal relations by econometric models and crossspectral methods。Econometrica,37(3),424-438。  new window
14.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
15.Johansen, Søren(1988)。Statistical Analysis of Cointegration Vectors。Journal of Economic Dynamics and Control,12(2/3),231-254。  new window
16.Johansen, Søren、Juselius, Katarina(1990)。Maximum Likelihood Estimation and Inference on Cointegration: with Applications to the Demand for Money。Oxford Bulletin of Economics and Statistics,52(2),169-210。  new window
17.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
18.Johansen, Søren(1991)。Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models。Econometrica,59(6),1551-1580。  new window
19.國際投資月刊編輯部(2005)。連續升息對美國股市的影響。國際投資月刊,35,74-76。  延伸查詢new window
20.陳振遠、黃嘉興、王朝仕(20061200)。臺灣與美國股市互動之再檢測。臺灣銀行季刊,57(4),259-275。new window  延伸查詢new window
21.楊澤泉、劉璁霖(19961000)。資產組合保險效果之研究--美國股市崩盤之實證。證券市場發展季刊,8(4)=32,89-108。new window  延伸查詢new window
22.Ahmad, Wasim、Bhanumurthy, N. R.、Sehgal, Sanjay(2014)。The Eurozone crisis and its contagion effects on the European stock markets。Studies in Economics and Finance,31(3),325-352。  new window
23.Cerny, Alexandr、Koblas, Michal(2008)。Stock Market Integration and the Speed of Information Transmission。Czech Journal of Economics and Finance,58(1/2),2-20。  new window
24.DeLong, J. Bradford、Magin, Konstantin(2009)。The U.S. Equity Return Premium: Past, Present, and Future。Journal of Economic Perspectives,23(1),193-208。  new window
25.Guesmi, Khaled、Kaabia, Olfa、Kazi, Irfan(2013)。Does Shift Contagion Exist Between OECD Stock Markets During The Financial Crisis?。Journal of Applied Business Research,29(2),469-484。  new window
26.Mighri, Zouheir、Mansouri, Faysal(2013)。Dynamic Conditional Correlation Analysis of Stock Market Contagion: Evidence from the 2007-2010 Financial Crises。International Journal of Economics and Financial Issues,3(3),637-661。  new window
27.Valadkhani, Abbas、Chancharat, Surachai(2008)。Dynamic Linkages between Thai and International Stock Markets。Journal of Economic Studies,35(5/6),425-441。  new window
28.Dickey, David A.、Fuller, Wayne A.(1979)。Distribution of the Estimators for Autoregressive Time Series With a Unit Root。Journal of the American Statistical Association,74(366),427-431。  new window
29.Granger, Clive William John、Newbold, Paul(1974)。Spurious Regressions in Econometrics。Journal of econometrics,2(2),111-120。  new window
30.Nelson, Daniel B.(1991)。Conditional Heteroskedasticity in Asset Returns: A New Approach。Econometrica: Journal of the Econometric Society,59(2),347-370。  new window
31.Kizys, Renatas、Pierdzioch, Christian(2009)。Changes in the international comovement of stock returns and asymmetric macroeconomic shocks。Journal of International Financial Markets, Institutions, and Money,19(2),289-305。  new window
32.Su, Qian、Chong, Terence Tai-Leung、Yan, Isabel Kit-Ming(2007)。On the convergence of the Chinese and Hong Kong stock markets: a cointegration analysis of the A and H shares。Applied Financial Economics,17(6),1349-1357。  new window
學位論文
1.劉健欣(1999)。臺灣股市與美國股市關連性之實證研究(碩士論文)。淡江大學。  延伸查詢new window
2.黃紀風(1999)。國際股票巿場共整合與動態關聯性之實證研究(碩士論文)。淡江大學。  延伸查詢new window
3.王淳儒(1998)。美、英、日、德、法與亞太新興國家股市關聯性之研究(碩士論文)。中國文化大學。  延伸查詢new window
4.紀嘉政(1999)。台灣股市與美國、日本及香港股市共移性之研究(碩士論文)。淡江大學。  延伸查詢new window
5.盛曉青(1999)。東南亞金融風暴期間亞洲各國股市之共整合關係與變異數分解之研究(碩士論文)。東吳大學。  延伸查詢new window
6.吳銀釧(1998)。臺灣與國際股市相關係數的時間序列分析及應用(碩士論文)。國立政治大學。  延伸查詢new window
 
 
 
 
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