DSpace community: 財務系

現階段臺灣權證發行之問題解析與避險策略之形成檢討與因應

title: 現階段臺灣權證發行之問題解析與避險策略之形成檢討與因應

Estimation of Garch models from the autocorrelations of the squares of a process

title: Estimation of Garch models from the autocorrelations of the squares of a process abstract: This paper shows how the parameters of a stable GARCH(1, 1) model can be estimated from the autocorrelations of the squared process. Specifically, the method applies a minimum distance estimator (MDE) to the sample autocorrelations of the squared realization. The asymptotic efficiency of the estimator is calculated from using the first g autocorrelations. The estimator can be surprisingly efficient for quite small numbers of autocorrelations and, in some cases, can be more efficient than the quasi maximum likelihood estimator (QMLE). Also, the estimated process can better fit the pattern of observed autocorrelations of squared returns than those from models estimated by maximum likelihood estimation (MLE). The estimator is applied to a series of hourly exchange rate returns, which are extremely non Gaussian.

郵政儲金支應中長期資金問題解析

title: 郵政儲金支應中長期資金問題解析

Alternative conditional volatility models of taiwan's stock market with applications to covered warrants

title: Alternative conditional volatility models of taiwan's stock market with applications to covered warrants

不同波動性模型預測能力之比較：臺灣與香港認購權證市場實證

title: 不同波動性模型預測能力之比較：臺灣與香港認購權證市場實證

金融危機整合型研究---亞洲金融危機對金融市場波動性之傳染效果

title: 金融危機整合型研究---亞洲金融危機對金融市場波動性之傳染效果 description: 計畫編號：NSC89-2415-H032-021-JC

長記憶波動性之研究及其對選擇權定價之運用

title: 長記憶波動性之研究及其對選擇權定價之運用 description: 計畫編號：NSC89-2416-H032-006

台灣證券交易所與中華櫃檯買賣中心股票報酬與風險特性的比較分析

title: 台灣證券交易所與中華櫃檯買賣中心股票報酬與風險特性的比較分析 description: 計畫編號：NSC88-2416-H032-006

套利定價理論在台灣股票市場的實證研究 : 漸近主成份分析法之運用

title: 套利定價理論在台灣股票市場的實證研究 : 漸近主成份分析法之運用

我國公營事業民營化後之經營績效與投資績效評估

title: 我國公營事業民營化後之經營績效與投資績效評估

台灣股票市場本益比效果之實證研究

title: 台灣股票市場本益比效果之實證研究

The market impacts of derivative warrant introductions: why do they differ from those of standard options?

title: The market impacts of derivative warrant introductions: why do they differ from those of standard options?

The long-term post-merger performance of acquiring firms in Taiwan

title: The long-term post-merger performance of acquiring firms in Taiwan

The determinants ant implications of corporate liquidity in Taiwan

title: The determinants ant implications of corporate liquidity in Taiwan

Price limit and market volatility in Taiwan : evidence on an ARCH model

title: Price limit and market volatility in Taiwan : evidence on an ARCH model

Oil Convenience Yields Estimated under Demand/Supply

title: Oil Convenience Yields Estimated under Demand/Supply

Long and Short Run Liquidity Effect on Term Structure: Evidences from the Taiwan Market

title: Long and Short Run Liquidity Effect on Term Structure: Evidences from the Taiwan Market

An empirical test of arbitrage pricing model in Taiwan : application of principal components method

title: An empirical test of arbitrage pricing model in Taiwan : application of principal components method

會計方法變動對股票價格之影響

title: 會計方法變動對股票價格之影響

The impact of price limits on market volatility in Taiwan

title: The impact of price limits on market volatility in Taiwan

The determinants and implications of corporate liquidity in Taiwan

title: The determinants and implications of corporate liquidity in Taiwan

Empirical Decomposition of Credit Spreads and Diversification

title: Empirical Decomposition of Credit Spreads and Diversification

Formulation versus Holding Horizons, Time Series Predictability and the Performance of Contrarian Strategies

title: Formulation versus Holding Horizons, Time Series Predictability and the Performance of Contrarian Strategies abstract: 反向操作策略之績效取決於資產報酬之時間序列性質及個別資產期望報酬之橫斷差異。在給定報酬率的時間序列結構下，同一資產可因其形成期長度不同而被歸類為贏家或輸家，據此所構建之反向操作策略的績效也會隨著持有期間長短而有所改變。以東京股市為例，本文發現不論形成期間為何，反向操作策略在三年內皆可獲利，而且，報酬負自我相關為其利潤的主要來源。 The performance of contrarian strategies relies on the time series properties of stock returns (including self- and cross-autocorrelation) as well as on the cross-sectional variation in expected returns of individual securities. Given the return generating process or time series structure, a stock might be identified as a loser and a winner as well. depending on the length of the ranking (formation) period. Henceforth, the contrarian performance over different holding horizons also depends on the time series properties. Based on monthly returns data for all stocks listed on the Tokyo Stock Exchange (TSE), this paper investigates the contrarian performance over various ranking and holding horizons ranging from one month to three years. Empirical results show that contrarian strategies are profitable for all horizons. On average, we find that negative autocorrelation (market overreaction) is the major source of the contrarian profit.

An Analysis of Long Memory in Volatility for Asian Stock Markets

title: An Analysis of Long Memory in Volatility for Asian Stock Markets abstract: One of the important questions in studies of asset return and volatility has been how long the effects of shocks persist. In this article, the modified R/S statistic of Lo (1991) and the robust semiparametric method of Lobato and Robinson (1997) are applied to investigate the long memory properties in return and volatility of Asian financial markets. For the return series, we find little evidence of long memory, while the empirical results support the hypothesis of long memory in volatility for Asia-Pacific stock markets. We also discuss the possible causes of spurious long memory effect in volatility, namely aggregation, size distortion, and shifts in variance. Our empirical evidence shows that spurious long memory effect in volatility might occur as a result of shifts in variance for some Asian stock markets.

郵政資金運用之研究

title: 郵政資金運用之研究

Ranking versus holding horizons, time series predictability and the performance of contraian strategy

title: Ranking versus holding horizons, time series predictability and the performance of contraian strategy

Minimum distance estimation for ARMA and GARCH processes with applications to high frequency financial market data

title: Minimum distance estimation for ARMA and GARCH processes with applications to high frequency financial market data

Market Risk and Model Risk of Financial Institutions Writing Derivative Warrants: Evidence from Taiwan and Hong Kong

title: Market Risk and Model Risk of Financial Institutions Writing Derivative Warrants: Evidence from Taiwan and Hong Kong

Market risk and model risk of financial institutions writing derivative warrants

title: Market risk and model risk of financial institutions writing derivative warrants

An empirical investigation of volatility models of Taiwan stock market

title: An empirical investigation of volatility models of Taiwan stock market

An analysis of long memory volatility in Asian stock markets

title: An analysis of long memory volatility in Asian stock markets

An analysis of long memory properties in Asia pacific stock markets

title: An analysis of long memory properties in Asia pacific stock markets

An analysis of intra-day returns, volatility and volume of Taiwan's stock market

title: An analysis of intra-day returns, volatility and volume of Taiwan's stock market

An analysis of intraday and interday returns, risk and volume of Taiwan's stock markets

title: An analysis of intraday and interday returns, risk and volume of Taiwan's stock markets

Alternative models for conditional volatility of Taiwan stock market with applications to covered warrants

title: Alternative models for conditional volatility of Taiwan stock market with applications to covered warrants

Alternative models for conditional stock volatility of Taiwan stock market with applications to covered warrants

title: Alternative models for conditional stock volatility of Taiwan stock market with applications to covered warrants

不同波動性模型的預測能力之比較

title: 不同波動性模型的預測能力之比較

中長期資金運用制度資金來源的成本估算與問題

title: 中長期資金運用制度資金來源的成本估算與問題

台電公司長期財務規劃系統之建立

title: 台電公司長期財務規劃系統之建立

台灣證券交易所與中華櫃檯買賣中心股票報酬與風險特性的比較分析

title: 台灣證券交易所與中華櫃檯買賣中心股票報酬與風險特性的比較分析 description: 計畫編號：NSC88-2416-H032-006