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題名:臺灣股市系統風險不對稱性之研究
書刊名:管理科學研究
作者:廖永熙
作者(外文):Liao, Yong Xi
出版日期:2019
卷期:13:2
頁次:頁49-63
主題關鍵詞:系統風險不對稱雙變量GJR-GARCH模型Asymmetric betaBivariate GJR-GARCH model
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)
  • 排除自我引用排除自我引用:0
  • 共同引用共同引用:58
  • 點閱點閱:8
期刊論文
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12.Reinganum, Marc R.(1981)。A New Empirical Perspective on the CAPM。Journal of Financial and Quantitative Analysis,16,439-462。  new window
13.Tinic, Seha M.、West, Richard R.(1984)。Risk and Return: January vs the rest of the year。Journal of Financial Economics,13(4),561-574。  new window
14.Pettengill, G. N.、Sundaram, S.、Mathur, I.(1995)。The conditional relation between beta and returns。Journal of Financial and Quantitative Analysis,30(1),101-116。  new window
15.Lintner, J.(1965)。The Valuation of Risky Assets and The Selection of Risky Investments in Stock portfolios and Capital budgets。Review of Economics and Statistics,47(1),13-37。  new window
16.Engle, Robert F.、Kroner, Kenneth F.(1995)。Multivariate simultaneous generalized arch。Econometric Theory,11(1),122-150。  new window
17.Harvey, Campbell R.(1989)。Time-varying Conditional Covariances in Tests of Asset Pricing Models。Journal of Financial Economics,24(2),289-317。  new window
18.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
19.Siegel, S.、Tukey, J. W.(1960)。A nonparametric sum of ranks procedure for relative spread in unpaired samples。Journal of the American Statistical Association,55,429-445。  new window
20.Pratt, John W.(1964)。Risk Aversion in the Small and in the Large。Econometrica,32(1/2),122-136。  new window
21.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
22.劉亞秋、黃理哲、劉維琪(19960100)。An Analysis of Systematic Risk in Taiwan Stock Market。證券市場發展季刊,8(1)=29,45-66。new window  延伸查詢new window
23.Berglund, T.、Knif, J.(1999)。Accounting for the accuracy of beta estimates in CAPM-tests on assets with time-varying risks。European Financial Management,5,29-42。  new window
24.Braun, P.、Nelson, D.、Sunier, A.(1995)。Good news, bad news, volatility and beta。Journal of Finance,50,1575-1603。  new window
25.Brooks, C.、Henry, O. T.(2002)。The Impact of News on Measures of Undiversifiable Risk: Evidence from the UK Stock Market。Oxford Bulletin of Economics and Statistics,64,487-507。  new window
26.Hung, D. C. H.、Shackleton, M.、Xu, X.(2004)。CAPM, high co-moment and factor models of U.K. stock returns。Journal of Business Finance and Accounting,31,87-112。  new window
27.Faff, R. W.、Hodgson, A.、Saudagaran, S.(2002)。International cross-listings towards more liquid markets: the impact on domestic firms。Journal of Multinational Financial Management,12,365-390。  new window
28.Giannopoulos, K.(1995)。Estimating the time varying components of international stock market's risk。European Journal of Finance,1,129-164。  new window
29.Glosten, L. R.、Jaganathan, R.、Runkle, R. D.(1993)。On the relation between the expected value and volatility of nominal excess return on stocks。Journal of Finance,48,1779-1801。  new window
30.Ghosh, A. K.(1992)。Market model corrected for generalized autoregressive conditional heteroskedasticity and the small firm effect。Journal of Financial Research,15,277-283。  new window
31.Kroner, K. F.、Ng, V. K.(1998)。Modeling asymmetric comovement of asset returns。Review of Financial Studies,11,817-844。  new window
32.Lie, F.、Brooks, R.、Faff, R.(2000)。Modelling the equity beta risk of Australian financial sector companies。Australian Economic Paper,39,301-311。  new window
33.Patro, D. K.、Wald, J. K.、Wu, Y.(2002)。The impact of macroeconomic and financial variables on market risk: evidence from international equity returns。European Financial Management,8,421-447。  new window
34.Scruggs, J. T.、Glabadanidis, P.(2003)。Risk premia and the dynamic covariance between stock and bond returns。Journal of Financial Quantitative Analysis,38,295-316。  new window
35.Yang, J. J. W.、You, S. J.(2003)。Asymmetric volatility: pre and post financial crisis。Journal of Management,20,797-819。  new window
36.Diebold, Francis X.、Mariano, Roberto S.(1995)。Comparing Predictive Accuracy。Journal of Business and Economic Statistics,13(3),253-263。  new window
37.楊踐為(20000500)。The Leverage Effect and Herding Behaviour in Taiwan's Stock Market。風險管理學報,2(1),69-86。new window  new window
38.Fama, Eugene F.、MacBeth, James D.(1973)。Risk, Return, and Equilibrium: Empirical Tests。Journal of Political Economy,81(3),607-636。  new window
39.Mossin, Jan(1966)。Equilibrium in a Capital Asset Market。Econometrica,34(4),768-783。  new window
40.Wu, Guojun、Bekaert, Geert(2000)。Asymmetric Volatility and Risk in Equity Markets。Review of Financial Studies,13(1),1-42。  new window
41.Campbell, John Y.、Hentschel, Ludger(1992)。No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns。Journal of Financial Economics,31(3),281-318。  new window
42.Christie, Andrew A.(1982)。The Stochastic Behavior of Common Stock Variances: Value, Leverage and Interest Rate Effects。Journal of Financial Economics,10(4),407-432。  new window
43.Pindyck, Robert S.(1984)。Risk, Inflation, And The Stock Market。American Economic Review,74,334-351。  new window
44.Fama, Eugene F.、French, Kenneth R.(1992)。The Cross-Section of Expected Stock Returns。The Journal of Finance,47(2),427-465。  new window
45.Nelson, Daniel B.(1991)。Conditional Heteroskedasticity in Asset Returns: A New Approach。Econometrica: Journal of the Econometric Society,59(2),347-370。  new window
46.周賓凰、劉怡芬(20000400)。臺灣股市橫斷面報酬解釋因子:特徵、單因子、或多因子?。證券市場發展季刊,12(1)=45,1-32。new window  延伸查詢new window
47.Heston, S. L.、Rouwenhorst, K. G.、Wessels, R. E.(1999)。The role of beta and size in the cross-section of European stock returns。European Financial Management,5,9-27。  new window
48.Vrontos, Ioannis D.、Dellaportas, P.、Politis, Daniel N.(2003)。A Full-Factor Multivariate GARCH Model。Econometrics Journal,6(2),312-334。  new window
會議論文
1.Black, F.(1976)。Studies of Stock Price Volatility Changes。The 1976 Meeting of the Business and Economic Statistics Section。American Statistical Association。177-181。  new window
 
 
 
 
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