7831.  通貨膨脹對基金報酬率之關聯研究 : 縱橫平滑移轉門檻模型之應用

劉蓓珊; Liu, Pei-shan ,  2009
[Graduate Institute & Department of Banking and Finance] Thesis
Time Varying Risk Premia in the Term Structure: The ARCH-M Model, Econometrica , 55, 391-409 Fama, E. F. and G. W. Schwert (1977), Asset Returns

7832.  台指選擇權隱含波動指標預測品質之解析

趙芳靖; Chao, Fang-ching ,  2006
[Graduate Institute & Department of Banking and Finance] Thesis
and return rate, we find the variation of volatility is negative-correlated with the return rate at the same time point. However, while return rate

7833.  ARJI偏態 t 分配模型的應用 : 以美國道瓊工業指數為例

吳瑋峻; Wu, Wei-chun ,  2007
[Graduate Institute & Department of Banking and Finance] Thesis
”, Journal of Business, Vol. 47, pp. 244-280. Bollerslev, T. (1987), “A Conditionally Heteroskedasticity Time Series Model for Speculative Prices and Rates

7834.  美國存託憑證與其標的股之價量資訊動態傳遞研究- ARJI-Trend模型的應用

徐銥琦; Hsu, Yi-chi ,  2007
[Graduate Institute & Department of Banking and Finance] Thesis
Walks in Macroeconomic Time Series: Some Evidence and Implications」， Journal of Monetary Economics ; 10; 139-162. Phillips, P. C. B. and Perron, P

7835.  Dynamics of underwriting profits : an empirical study of U.S. insurance markets

姜世杰; Jiang, Shi-jie ,  2007
[Graduate Institute & Department of Banking and Finance] Thesis
effect has been magnified due to more time lags between premiums receiving and the claims payment paying. Overall empirical evidences substantially

7836.  營收市價比與股票報酬 : 臺灣市場之進一步證據

張穎宸; Chang, Ying-chen ,  2009
[Graduate Institute & Department of Banking and Finance] Thesis
. At the same time, we find evidence about overreacting. About the long-run market returns, the average abnormal returns of those stocks with the highest

7837.  流動性與價格發現之探討-以轉倉期間為例

謝依芬; Hsieh, Yi-fen ,  2007
[Graduate Institute & Department of Banking and Finance] Thesis
ratio statistics for autoregressive time series with a unit root, Econometrica 49, 1057-1072. 17.Enders, W., 2004, Applied Econometric Time Series, New

7838.  考慮投資人情緒下之動量策略

夏斌威; Hsia, Pin-wei ,  2007
[Graduate Institute & Department of Banking and Finance] Thesis
,51,pp.1681-1713. 8.Chordia, T. and L. Shivakumar, 2002, "Momentum, business cylcle, and time-varing expected returns,＂ Journal of Finance ,57,pp.985-1019

7839.  半導體產業股價相關暨波動外溢分析-網路泡沫化前後差異之探討-

周信宏; Chou, Hsin-hong ,  2008
[Graduate Institute & Department of Banking and Finance] Thesis
。 聶建中、林少斌、莊亨懋（2005），「台灣半導體指數上、中、下由產業股價指數之連動性探討」，台大管理論叢，第十五卷，第二期，頁25-42。 國外文獻 Akgiray, V. (1989),“Conditional heteroscedasticity in time series

7840.  條件偏態於資產定價上之應用-臺灣證券市場之實證研究

吳家華; Wu, Chia-hua ,  2007
[Graduate Institute & Department of Banking and Finance] Thesis
. The empirical results indicate that conditional skewness has significantly effect on each factor model, and help to increase the explanation of the common time