المؤلفون: 李晟綱, Li, Cheng-Kang

المساهمون: 洪碧霞 教授, 管理學院:財務金融學系

مصطلحات موضوعية: 槓桿效果, 磁效應, 價格限制, 驅動效果, Leverage effect, magnet effect, price limits, trigger effects

وصف الملف: 130 bytes; text/html

العلاقة: http://ir.ncnu.edu.tw:8080/handle/310010000/15565Test; http://ir.ncnu.edu.tw:8080/bitstream/310010000/15565/1/index.htmlTest

الإتاحة: http://ir.ncnu.edu.tw:8080/handle/310010000/15565Test
http://ir.ncnu.edu.tw:8080/bitstream/310010000/15565/1/index.htmlTest

المؤلفون: 王馨平, Wang, Hsin-Ping

المساهمون: 會計學系, 廖麗凱, Liao, Li-Kai, 王馨平, Wang, Hsin-Ping

مصطلحات موضوعية: 加密貨幣市場, 比特幣, 以太幣, 日本加密貨幣之合法, 投資者情緒, 波動叢聚, 槓桿效果, Bitcoin, Ethereum, cryptocurrencies, legalization of cryptocurrencies in Japan, investors sentiment, volatility, leverage effect of volatility, eco, manag

العلاقة: http://ir.lib.ncku.edu.tw/handle/987654321/182265Test

الإتاحة: http://ir.lib.ncku.edu.tw/handle/987654321/182265Test

المؤلفون: 廖志偉, Liao, Chih Wei

المساهمون: 廖四郎, Liao, Szu Lang

مصطلحات موضوعية: 高頻資料, 因果關係, 槓桿效果, 波動度回饋效果, 跳躍, High-frequency data, Causality, Leverage effect, Volatility feedback effect, Jumps, eco, manag

العلاقة: http://nccur.lib.nccu.edu.tw/bitstream/140.119/111746/1/503301.pdfTest; http://nccur.lib.nccu.edu.tw//handle/140.119/111746Test

الإتاحة: http://nccur.lib.nccu.edu.tw/bitstream/140.119/111746/1/503301.pdfTest
http://nccur.lib.nccu.edu.tw//handle/140.119/111746Test

المؤلفون: 陳星州, Chen, Hsing-Chou

المساهمون: 財務金融研究所碩士在職專班, 林軒竹, Lin, Hsuan-Chu

مصطلحات موضوعية: 權益波動率, 資產波動率, GARCH模型, 分量迴歸模型, 槓桿效果, Equity Volatility, Asset Volatility, GARCH Model, Quantile Regression, Leverage Effect, eco, manag

العلاقة: http://ir.lib.ncku.edu.tw/handle/987654321/154399Test

الإتاحة: http://ir.lib.ncku.edu.tw/handle/987654321/154399Test

المؤلفون: Chao-Wei Chung, 鍾朝偉

المساهمون: 應用經濟學系所, 黃琮琪, Tsorng-Chyi Hwang

مصطلحات موضوعية: 風險值, 槓桿效果, 蒙地卡羅-馬可夫鍊法, 隨機波動-t 分配模型, Value at Risk (VaR), Leverage effect, Markov Chain Monte Carlo Estimation Methods (MCMC), Stochastic Volatility with Student-t Errors (SV-t) Model

العلاقة: U0005-1808201500105000; http://hdl.handle.net/11455/89573Test

الإتاحة: http://hdl.handle.net/11455/89573Test

المؤلفون: 沈容光

المساهمون: 杜化宇

مصطلحات موضوعية: 不動產投資信託基金, 恐慌指數, 槓桿效果, 抗跌性

الوقت: 41

العلاقة: 1. 陳順宇，多變量分析，四版，民國94年，華泰文化公司出版 2. 楊奕農，時間序列分析 ─ 經濟與財務上之應用，二版，民國98年，雙葉書廊有 限公司 3. 陳旭昇，時間序列分析 ─ 總體經濟與財務金融之應用，民國98年，台灣東華書 局 4. Tsay, Ruey S.(2005) Analysis of Financial Time Series, Wiley Series in Probability and Statistics 5. 蔡怡純、陳明吉，“台北地區不動產價格波動不對稱性探討”，中華民國住宅學 會學報，民國九十七年十二月，第十七卷第二期，1-11頁 6. 王健安、張金鶚，“臺灣 REITs 與 REATs 發行個案之典型事實分析”，臺灣 銀行季刊，民國九十八年十二月，第六十卷第四期，169-223頁 7. 許君毅，“風險觀點下探討台灣 REITs 的關聯性分析- 結合主成份分析法之 實證”，會計與財金研究，民國九十九年一月，第三卷第一期，55-71頁 8. 蔡怡純、胥愛琦、陳明吉，“不動產投資信託基金變得更危險了嗎? 亞洲市場實 證研究”，經濟與管理論叢，民國九十九年七月，第六卷第二期， 271-298頁 9. 蔡怡純，“台灣不動產投資信託基金之抗跌與風險特性”，中華民國住宅學會學 報，民國一百年六月，第二十卷第一期，25-58頁 10. 蔡怡純、陳明吉、張光亮，“台灣不動產投資信託基金具有防禦性嗎？”，證券 市場發展季刊，民國一百年，第二十三卷第三期，199-224.頁 11. Anderson Seth, T. R. Beard, H. Kim and L. V. Stern (2011) “Fear and Closed-End Fund Discounts: Investor Sentiment revisited, ” Journal of Economic Literature, C32, G01, G12 12. Agyei-Ampomah, S. and J. R. Davies (2005) “Excess Volatility and UK Investment Trusts, ” Journal of Business Finance & Accounting, Vol. 32, Nos. 5 & 6 , 1033–62 13. Boudreaux, Kenneth J (1973) “Discounts and Premiums on Closed-End Mutual Funds: A Study in Valuation,” The Journal of Finance, Vol. 28, No. 2 14. Black, F. (1976) “Studies in Stock Price Volatility Changes,” Proceedings of the 1976 Business Meeting of the Business and Economics Statistics Section, American Statistical Association, 177-181 15. Bollerslev, T.(1986) “Generalized Autoregressive Conditional Heteroskedasticity,” Journal of Econometrics, 31: 307-328. 16. Bollerslev, T., R.F. Engle and J.M. Wooldridge (1988), “A Capital Asset Pricing Model with Time-Varying Covariances”, Journal of Political Economy, 96, 116-131 17. Bollerslev, T. (1990) “Modelling the Coherence in Short- Run Nominal Exchange Rate: A Multivariate Generalized ARCH Approach,” Review of Economics and Statistic, 72, 498-505 18. Barkham, R., and Ward, C. W.(1999) “Investor sentiment and noise traders: discount to net asset value in listed property companies in the UK.,” Journal of Real Estate Research, 18(2), 291 – 312. 19. Chan, K.C. Patric H. Hendershott, and Anthony B. Sanders (1990) “Risk and Return on Real Estate: Evidence from Equity REITs,” Working paper, National Bureau of Economic Research 20. Chen Nai-Fu, Kan R. and Merton H. Miller (1993) “Are the Discounts on Closed-End Funds a Sentiment Index,”Journal of Finance, Vol. 48, No. 2, 795-800 21. Capozza, D. and S. Lee (1995) “Property Type, Size and REIT Value,” Journal of Real Estate Research, 10, 363- 379. 22. Clayton, J., MacKinnon, G. (2001) “Explaining the discount to NAV in REIT pricing: Noise or information? ,” Working Paper, RERI 23. De Long, J. Bradford, Andrei Shleifer, Larrence H. Summers and Richard J. Waldman (1990) “Noise Trader Risk in Financial Markets.” Journal of Political Economy 98, 703-738. 24. Engle, Robert F. (1982) “Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation,” Econometrica, 50: 987-1007. 25. Engle, Robert F. and Kenneth F. Kroner. (1995) “Multivariate Simultaneous Generalized Arch,” Econometric Theory, Vol. 11, No. 1, 122-150 26. Engle, Robert F. and Kevin Sheppard (2001) “Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH, ” NBER Working Papers 8554, National Bureau of Economic Research 27. Engle, Robert (2002) “Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models, ” Journal of Business & Economic Statistics 20, 339-350. 28. Glascock, J. L., D. Michayluk and K. Neuhauser. (2004) “The Riskiness of REITs Surrounding the October 1997 Stock Market Decline,” Journal of Real Estate Finance and Economics, 28(4): 339-354 29. Gentry, William M., C. Jones and C. Mayer (2004) “REIT Reversion: Stock Price Adjustments to Fundamental Value,” Working Paper, Columbia University 30. Lee, Charles M. C., Andrei Shleifer, and Richard H. Thaler (1990) “Anomalies: Closed-End Fund Mutual Funds.” Journal of Economic Perspectives 4.4, 154-64. 31. Lee, Charles M. C., Andrei Shleifer, and Richard H. Thaler (1991) “Investor Sentiment and the Closed-End Fund Puzzle.” Journal of Finance, 66.1, 75-109 32. Lin Crystal Yan, Hamid Rahman and Kenneth Yung (2009) “Investor Sentiment and REIT Returns,” Journal of Real Estate Finance and Economics, Vol.39, Number 4, 450-471. 33. Pontiff, Jeffrey (1997) “Excess volatility and closed- end funds,”The American Review, Vol.87, No.1, 155-169 34. Patel, Kanak, Ricardo A. M. G. Pereira and Kirill V. Zavodov (2009) “Mean Reversion in REITs Discount to NAV,” Journal of Real Estate Finance and Economics DOI 10.1007 35. Sims, Christopher A. (1980) “Macroeconomics and reality, ”Econometrica, 48(1), 1-48 36. Silverio, Foresi & Liuren Wu (2005) “Crash-o-Phobia:A Domestic Fear or a Worldwide Concern?” Journal of Derivatives, Vol. 13, No. 2, 8-21 37. Sung Yong Park, Sang Young Jei (2010) “Estimation and Hedging Effectiveness of Time-varying Hedge Ratio:Flexible Bivariate GARCH Approachs,”Journal of Futures Markets, Vol.30, No.1, 71-99 38. Whaley, Robert E. (2000) “The Investor Fear Gauge,” Journal of Portfolio Management, Vol. 26, No. 3, 12-17 39. Zweig, Martin E. (1973) “An Investor Expectations Stock Price Predictive Model Using Closed-end Fund Premiums,” Journal of Finance 28,67-87; G0099357004; http://nccur.lib.nccu.edu.tw//handle/140.119/54177Test

الإتاحة: http://nccur.lib.nccu.edu.tw//handle/140.119/54177Test

المؤلفون: 陳正暉

المساهمون: 廖四郎, Liao,Szu Lang

مصطلحات موضوعية: 最適投資組合, 隨機波動度, 時間轉換Lévy過程, 槓桿效果, 波動度回饋效果, 波動度不對稱, Optimal portfolio choice, stochastic volatility, time-changed Lévy processes, leverage effect, volatility feedback effect, asymmetric volatility, eco

الوقت: 43

العلاقة: http://nccur.lib.nccu.edu.tw//handle/140.119/49661Test

الإتاحة: http://nccur.lib.nccu.edu.tw//handle/140.119/49661Test

المؤلفون: 黃琮凱, Huang, Tsung-Kai

المساهمون: 呂育道, 臺灣大學:財務金融學研究所

مصطلحات موضوعية: 二元樹, 信用組合違約交換, 擔保債務憑證, 槓桿效果, binomial lattice, basket default swaps, collateralized debt obligations, leverage effect, manag, envir

العلاقة: http://ntur.lib.ntu.edu.tw/bitstream/246246/182708/1/ntu-98-R95723061-1.pdfTest; http://ntur.lib.ntu.edu.tw/handle/246246/182708Test

الإتاحة: http://ntur.lib.ntu.edu.tw/bitstream/246246/182708/1/ntu-98-R95723061-1.pdfTest
http://ntur.lib.ntu.edu.tw/handle/246246/182708Test

المؤلفون: 趙明威

المساهمون: 廖四郎

مصطلحات موضوعية: 高頻率日內資料, 槓桿效果, 波動度預測模型, GJR-GARCH模型

العلاقة: G0097352011; http://nccur.lib.nccu.edu.tw//handle/140.119/49008Test; http://nccur.lib.nccu.edu.tw/bitstream/140.119/49008/1/index.htmlTest

الإتاحة: http://nccur.lib.nccu.edu.tw//handle/140.119/49008Test
http://nccur.lib.nccu.edu.tw/bitstream/140.119/49008/1/index.htmlTest

المؤلفون: 鍾孟桓, Chung, Meng-Huan

المساهمون: 交通管理學系碩博士班, 張?之, Chang, Ching-Chih

مصطلحات موضوعية: Tanker Freight Market, Leverage Effect, News Impact Curve, ARMA-EGARCH, 油輪運費市場, 槓桿效果, ARMA-EGARCH模式, 訊息衝擊曲線, eco, manag

العلاقة: http://ir.lib.ncku.edu.tw/handle/987654321/30771Test

الإتاحة: http://ir.lib.ncku.edu.tw/handle/987654321/30771Test