المؤلفون: Burnett, Mark, Johnston, Tony

المصدر: Tourism Review, 2020, Vol. 75, Issue 3, pp. 595-606.

URL الوصول: http://www.emeraldinsight.com/doi/10.1108/TR-04-2019-0118

المؤلفون: Shogo MIKADO, 三門 正吾

المصدر: 物理教育 / Journal of the Physics Education Society of Japan. 2020, 68(2):93

المؤلفون: Sumio TOKITA, 時田 澄男

المصدر: Journal of Computer Chemistry, Japan. 2021, 20(2):20

المؤلفون: 公茂法, 郭一萱, 闫鹏, 吴娜, 张超

المصدر: Gong-kuang zidonghua, Vol 43, Iss 5, Pp 50-53 (2017)

مصطلحات موضوعية: 采煤机, 滚动轴承, 故障诊断, 波动性, 径向基核函数, k-means聚类算法, td算法, Mining engineering. Metallurgy, TN1-997

Relation: https://doaj.org/toc/1671-251X; https://doaj.org/article/fdd3f19b7541495da0af4a746bd94862

الاتاحة: https://doi.org/10.13272/j.issn.1671-251x.2017.05.012
https://doaj.org/article/fdd3f19b7541495da0af4a746bd94862

المؤلفون: Kikyo Toshima, Tetsuo Harimoto, 張本 鉄雄, 戸嶋 喜叶

المصدر: JSAP Annual Meetings Extended Abstracts. 2017, :363

المؤلفون: 黃仕鴻, Huang, Shih-Hung

المساهمون: 徐士勛, Hsu, Shih-Hsun

مصطلحات موضوعية: 稀疏因子模型, 總體潛在因子, 產業類股報酬, 股價報酬, 波動性, Sparse Factor Model, Macroeconomic Latent Factors, Industry Sector Returns, Stock Price Returns, Volatility

وصف الملف: 1156588 bytes; application/pdf

Relation: 張卓眾與王祝三(2013)，「台灣時間序列與橫斷面股票報酬之研究：不同模型設定、投資組合建構以及樣本選擇下之再檢測」，《經濟研究》，49(1)，31-88。 顧廣平(2005)，「單因子、三因子或四因子模式？」，《證券市場發展季刊》，17(2)，101-146。 Bai, J. and Ng, S. (2013), “Principal Components Estimation and Identification of Static Factors”, Journal of Economics, 176, 18-29. Holloway, R. (2011), “An Empirical investigation of the APT in a Frontier Stock Market,” Munich Personal RePEc Archive, No.38675. Onatski, A. (2010), “Determining the Number of Factors from Empirical Distribution of Eigenvalues,” The Review of Economics and Statistics, 92(4), 1004-1016. Sarianidis, N., Giannarakis, G., Litinas, N. and Konteos, G. (2010), “A GARCH Examination of Macroeconomic Effects on U.S. Stock Market: A Distinction Between the Total Index and the Sustainability Index,” European Research Studies, Issue(1). Uematsu, Y. and Yamagata, T. (2019), “Estimation of Weak Factor Model,” Ecinstor, ISER Discussion Paper, No.1053. Uematsu, Y. and Yamagata, T. (2021), “Inference in Sparsity-induced Weak Factor Models,” Journal of Business & Economic Statistics.; G0111258023; https://nccur.lib.nccu.edu.tw//handle/140.119/152702; https://nccur.lib.nccu.edu.tw/bitstream/140.119/152702/1/802301.pdf

الاتاحة: https://nccur.lib.nccu.edu.tw//handle/140.119/152702
https://nccur.lib.nccu.edu.tw/bitstream/140.119/152702/1/802301.pdf

المؤلفون: 曲慧茹, Qu, Hui-Ru

المساهمون: 徐士勛

مصطلحات موضوعية: 稀疏因子模型, 共同因子, 貝氏估計, 股價報酬率, 波動性, Sparse Factor Model, Common Factors, Bayesian Estimation, Stock Price return, Volatility

وصف الملف: 9696416 bytes; application/pdf

Relation: 郭維裕, 李淯靖, 陳致綱, 林建秀 (2015)。台灣產業指數的外溢效果。經濟論文叢刊, 43(4), 407-442。 國家發展委員會。台灣景氣指標月刊, 第48卷第2期。 Bauwens, L., Lubrano, M., and Richard, J. F. (1999). Bayesian Inference in Dynamic Econometric Models. Oxford, UK: Oxford University Press. Bhattacharya, A., and Dunson, D. (2011). Sparse Bayesian infinite factor models. Biometrika, 98, 291-306. Boivin, J., and Ng, S. (2006). Are more data always better for factor analysis? Journal of Economics, 132, 169-194. Carhart, M. M. (1997). On persistence in mutual fund performance. The Journal of Finance, 52(1), 57-82. Fama, E.F. and French, K.R. (1993) Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3-56. Fama, E.F. and French, K.R. (2015) A five-factor asset pricing model. Journal of Financial Economics, 116(1), 1-22. Frhwirth-Schnatter, S., and Lopes, H. F. (2018). Parsimonious Bayesian factor analysis when the number of factors is unknown. Chicago, IL: University of Chicago Booth School of Business. Hanson, T., and McMillan, G. T. (2012). Schefftyle simultaneous credible bands for regression surfaces with application to Ache honey gathering. Journal of Data Science, 10, 175-193. Harvey, C. R., Liu, Y., and Zhu, H. (2015). and the cross-section of expected returns. Review of Financial Studies, 29(1), 5-68. Kaufmann,S. and Schumacher, C. (2017). Identifying relevant and irrelevant variables in sparse factor models. Journal of Applied Economics, 2017, 32, 1123-1144. Onatski, A. (2010). Determining the Number of Factors from Empirical Distribution of Eigenvalues. The Review of Economics and Statistics (2010), 92 (4), 1004-1016. West, M. (2003). Bayesian factor regression models in the “large p, small n” paradigm. Bayesian Statistics, 7, 723-732.; G0111258009; https://nccur.lib.nccu.edu.tw//handle/140.119/151994; https://nccur.lib.nccu.edu.tw/bitstream/140.119/151994/1/800901.pdf

الاتاحة: https://nccur.lib.nccu.edu.tw//handle/140.119/151994
https://nccur.lib.nccu.edu.tw/bitstream/140.119/151994/1/800901.pdf

المؤلفون: Sumio TOKITA, 時田 澄男

المصدر: Journal of Computer Chemistry, Japan. 2014, 13(5):25

المؤلفون: Takahisa KOMEDA, 米田 隆恒

المصدر: 物理教育 / Journal of the Physics Education Society of Japan. 2006, 54(2):97

المؤلفون: Yoshio Tadahira, 忠平 好生

المصدر: 日本音響学会誌 / THE JOURNAL OF THE ACOUSTICAL SOCIETY OF JAPAN. 1995, 51(3):191

المؤلفون: Shouichi Takane, Toshio Sone, Yoiti Suzuki, Yoshinari Yamada, 山田 祐生, 曽根 敏夫, 鈴木 陽一, 高根 昭一

المصدر: 日本音響学会誌 / THE JOURNAL OF THE ACOUSTICAL SOCIETY OF JAPAN. 1994, 50(3):188

المؤلفون: 林朕陞, 周雨田, 范蓉蓉

مصطلحات موضوعية: 原油期貨價格, 波動性, CARR模型, VMD模型, GRU模型

Relation: 2023全國統計與數據科學聯合會議; 連結 https://jcsds2023.pku.edu.cn/; https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/124538

الاتاحة: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/124538

المؤلفون: 蘇旺鴻, Su, Wang-Hung

المساهمون: 岳夢蘭, Yueh, Meng-Lan

مصطلحات موضوعية: 公司債, 波動性, VIX指數, MOVE指數, Corporate bonds, Volatility, VIX Index, MOVE Index

وصف الملف: 1839347 bytes; application/pdf

Relation: Alberg, D., Shalit, H., & Yosef, R. (2008). Estimating stock market volatility using asymmetric GARCH models. Applied Financial Economics, 18(15), 1201-1208.\nAng, A., Hodrick, R. J., Xing, Y., & Zhang, X. (2006). The cross‐section of volatility and expected returns. The Journal of Finance, 61(1), 259-299.\nArnold, I. J., & Vrugt, E. B. (2010). Treasury bond volatility and uncertainty about monetary policy. Financial Review, 45(3), 707-728.\nBlack, F. (1976). Studies of stock market volatility changes. Proceedings of the 1976 Meetings of the Business and Economic Statistics Section, American Statistical Association, pp. 177-181.\nCampbell, J. Y., Giglio, S., Polk, C., & Turley, R. (2018). An intertemporal CAPM with stochastic volatility. Journal of Financial Economics, 128(2), 207-233.\nChung, K. H., & Chuwonganant, C. (2014). Uncertainty, market structure, and liquidity. Journal of Financial Economics, 113(3), 476-499.\nChung, K. H., Wang, J., & Wu, C. (2019). Volatility and the cross-section of corporate bond returns. Journal of Financial Economics, 133(2), 397-417.\nCorrado, C. J., & Miller, Jr, T. W. (2005). The forecast quality of CBOE implied volatility indexes. Journal of Futures Markets: Futures, Options, and Other Derivative Products, 25(4), 339-373.\nDick-Nielsen, J. (2014). How to clean enhanced TRACE data. Unpublished working paper. Copenhagen Business School.\nDimic, N., Kiviaho, J., Piljak, V., & Äijö, J. (2016). Impact of financial market uncertainty and macroeconomic factors on stock–bond correlation in emerging markets. Research in International Business and Finance, 36, 41-51.\nFama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3-56.\nFama, E. F., & MacBeth, J. D. (1973). Risk, return, and equilibrium: Empirical tests. Journal of Political Economy, 81(3), 607-636.\nMarcucci, J. (2005). Forecasting stock market volatility with regime-switching GARCH models. Studies in Nonlinear Dynamics & Econometrics, 9(4), 1558-3708.\nMerton, R. C. (1973). An intertemporal capital asset pricing model. Econometrica: Journal of the Econometric Society, 867-887.\nPastor, L., & Stambaugh, R. F. (2003). Liquidity risk and expected stock returns. Journal of Political Economy, 111(3), 642-685.\nSchwert, G. W. (1989). Why does stock market volatility change over time? The Journal of Finance, 44(5), 1115-1153.\nSharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. The Journal of Finance, 19(3), 425-442.\nYang, Z., & Zhou, Y. (2017). Quantitative easing and volatility spillovers across countries and asset classes. Management Science, 63(2), 333-354.\nYang, Z., Zhou, Y., & Cheng, X. (2020). Systemic risk in global volatility spillover networks: Evidence from option‐implied volatility indices. Journal of Futures Markets, 40(3), 392-409.\nZhou, Y. (2014). Modeling the joint dynamics of risk-neutral stock index and bond yield volatilities. Journal of Banking & Finance, 38, 216-228.; G0110357018; https://nccur.lib.nccu.edu.tw//handle/140.119/146283; https://nccur.lib.nccu.edu.tw/bitstream/140.119/146283/1/701801.pdf

الاتاحة: https://nccur.lib.nccu.edu.tw//handle/140.119/146283
https://nccur.lib.nccu.edu.tw/bitstream/140.119/146283/1/701801.pdf

المؤلفون: 穆罕默德, Muhammad Bin Muhammad Mahdi, Mahdi, Muhammad Bin Muhammad

المساهمون: 蔡政憲, Tsai, Cheng-Hsien

مصطلحات موضوعية: EGARCH, OPR, 波動性, Volatility

Relation: Achala, L., K., J. G., K., P. R., Bishal, G. (2015). Modelling and Forecasting of Price Volatility: An Application of GARCH and EGARCH Models. Agricultural Economics Research Review. 28(1), 73-82.\r\n\r\nArnold, T. W. (2010). Uninformative Parameters and Model Selection Using Akaike’s Information Criterion. Journal of Wildlife Management. 74(6), 1175-1178.\r\n\r\nBollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics. 31, 307-327.\r\n\r\nChang, T. Y., Hartzmark, S. M., Solomon, D. H., Soltes, E. F. (2016). Being Surprised by the Unsurprising: Earnings Seasonality and Stock Returns. The Review of Financial Studies. 30, 281–323.\r\n\r\nChen, J., Hong, H. (2002). Discussion of “Momentum and Autocorrelation in Stock Returns”. The Review of Financial Studies. 15, 565–574.\r\n\r\nChou, R. Y. (1988). Volatility Persistence and Stock Valuations: Some Empirical Evidence Using GARCH. Journal of Applied Econometrics. 3(4), 279-294.\r\n\r\nDash, R., Dash, P. K., Bisoi, R.T. (2015). A Differential Harmony Search Based Hybrid Interval Type2 Fuzzy EGARCH Model for Stock Market Volatility Prediction. International Journal of Approximate Reasoning. 59, 81-104.\r\n\r\nDehay, D., Leskow, J. (1995). Testing stationarity for stock market data. Economics Letters. 50, 205-212.\r\n\r\nDomain D. L., Louton, D. A. (1997). A threshold autoregressive analysis of stock returns and real economic activity. International Review of Economics and Finance. 6,167-179.\r\n\r\nEndri, E., Abidin, Z., Simanjuntak, T. P., Nurhayati, I. (2020). Indonesian Stock Market Volatility: GARCH Model. Montenegrin Journal of Economics. 16(2), 7-17.\r\n\r\nEngle, R. F. (1982). Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation. Econometrica, Journal of The Econometric Society. 50, 987-1007.\r\n\r\nFama E. F. (1965). Random Walks in Stock Market Prices. Taylor & Francis, Ltd. 21(5), 55-59.\r\n\r\nFaugère, Christophe and Shawky, Hany A. (2005). Volatility and Institutional Investor Holdings in a Declining Market: A Study of NASDAQ During the Year 2000. Available at SSRN: https://ssrn.com/abstract=480982\r\n\r\nGultekin, M. N., Gultekin, N. B. (1983). Stock Market Seasonality International Evidence. Journal of Financial Economics. 12, 469-481.\r\n\r\nHinich, M. J., Patterson, D. M. (1985). Evidence of Nonlinearity in Daily Stock Returns. Journal of Business & Economic Statistics. 3, 69-77.\r\n\r\nHoque, H. A. A. B., Kim, J. H., Pyun, C. S. (2016). A comparison of variance ratio tests of random walk: A case of Asian emerging stock markets. International Review of Economics and Finance. 16, 488-502.\r\n\r\nKeim, D. B. (1983). Size-related anomalies and stock return seasonality: Further empirical evidence. Journal of Financial Economics. 12, 13-32.\r\n\r\nLewellen, J. (2002). Momentum and Autocorrelation in Stock Returns. The Review of Financial Studies. 15, 533–564.\r\n\r\nLim, C. M., Sek, S. K. (2013). Comparing the performances of GARCH-type models in capturing the stock market volatility in Malaysia. Procedia Economics and Finance. 5, 478 – 487.\r\n\r\nLim, K. P., Luo, W., Kim, J. H. (2011). Are US stock index returns predictable? Evidence from automatic autocorrelation-based tests. Applied Economics. 45, 953-962.\r\n\r\nLukacs, E. (1942). A Characterization of the Normal Distribution. The Annals of Mathematical Statistics. 13, 91-93\r\n\r\nNelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, Journal of The Econometric Society. 59, 347-370.\r\n\r\nPagan, A. R., Schwert, G. W. (1990). Testing for Covariance Stationarity in Stock Market Data. Economics Letters. 33, 165-170.\r\n\r\nRozeff, M. S., Kinney, W. R. (1976). Capital Market Seasonality: The Case of Stock Returns. Journal of Financial Economics. 3, 379-402.\r\n\r\nSariannidis, N., Giannarakis, G., Litinas, N., Konteos, G. (2010). GARCH Examination of Macroeconomic Effects on U.S. Stock Market: A Distinction Between the Total Market Index and the Sustainability Index. European Research Studies. 13(1).\r\n\r\nSchwert, G. W. (1989). Why Does Stock Market Volatility Change Over Time? The Journal of Finance. 44(5), 1115-1153.\r\n\r\nSt. Pierre, E. F. (1998). Estimating EGARCH-M models: Science or art? The Quarterly Review of Economics and Finance. 38(2), 167-180.\r\n\r\nWu, Z., Huang, N. E. (2004). A study of the characteristics of white noise using the empirical mode decomposition method. Royal Society. 460(2046).\r\n\r\nYong, J. N. C., Ziaei, S. M., & R Szulczyk, K. (2021). The Impact of Covid-19 Pandemic on Stock Market Return Volatility: Evidence from Malaysia and Singapore. Asian Economic and Financial Review, 11(3), 191–204.; G0110933058; https://nccur.lib.nccu.edu.tw//handle/140.119/145807; https://nccur.lib.nccu.edu.tw/bitstream/140.119/145807/1/index.html

الاتاحة: https://nccur.lib.nccu.edu.tw//handle/140.119/145807
https://nccur.lib.nccu.edu.tw/bitstream/140.119/145807/1/index.html

المؤلفون: 劉建成, LIU, CHIEN-CHENG

المساهمون: 財務金融學系財務管理碩士班, 白宗民, PAI, TZUNG-MIN

مصطلحات موضوعية: 庫藏股, 三大法人買賣超, 波動性, GARCH模型, Treasury stock, Three Institutional Investors, Volatility, GARCH model

وصف الملف: 833152 bytes; application/pdf

Relation: http://nhuir.nhu.edu.tw/handle/987654321/29838; http://nhuir.nhu.edu.tw/bitstream/987654321/29838/1/111NHU00304020-004.pdf; http://nhuir.nhu.edu.tw/bitstream/987654321/29838/-1/index.html

الاتاحة: http://nhuir.nhu.edu.tw/handle/987654321/29838
http://nhuir.nhu.edu.tw/bitstream/987654321/29838/1/111NHU00304020-004.pdf
http://nhuir.nhu.edu.tw/bitstream/987654321/29838/-1/index.html

المؤلفون: 陳旻勤

المساهمون: 財務金融學系

مصطلحات موضوعية: 連續競價, 價格效率性, 波動性, 流動性

وصف الملف: 99 bytes; text/html

Relation: http://ir.lib.pccu.edu.tw//handle/987654321/52919; http://ir.lib.pccu.edu.tw/bitstream/987654321/52919/2/index.html

الاتاحة: http://ir.lib.pccu.edu.tw//handle/987654321/52919
http://ir.lib.pccu.edu.tw/bitstream/987654321/52919/2/index.html

المؤلفون: 翁嘉宏

المساهمون: 財務金融學系

مصطلحات موضوعية: 時間序列分析, 布蘭特原油, 俄烏戰爭, COVID-19疫情, 原油報酬, 原油報酬波動性

وصف الملف: 99 bytes; text/html

Relation: http://ir.lib.pccu.edu.tw//handle/987654321/52901; http://ir.lib.pccu.edu.tw/bitstream/987654321/52901/2/index.html

الاتاحة: http://ir.lib.pccu.edu.tw//handle/987654321/52901
http://ir.lib.pccu.edu.tw/bitstream/987654321/52901/2/index.html

المؤلفون: 戴淑庚, 余博

مصطلحات موضوعية: 短期资本流动的波动性, 资本账户开放, 半参数平滑系数模型(SPSCM)

Relation: 广东社会科学,2018,(04):25-36,253-254; https://dspace.xmu.edu.cn/handle/2288/172785

الاتاحة: https://dspace.xmu.edu.cn/handle/2288/172785

المؤلفون: 屈文洲, 崔峻培

مصطلحات موضوعية: 不确定性, 经济周期, 波动性, 企业投资

Relation: 经济学动态,2018,(03):126-138; https://dspace.xmu.edu.cn/handle/2288/171930

الاتاحة: https://dspace.xmu.edu.cn/handle/2288/171930

المؤلفون: 黄世忠, 王晓珂

مصطلحات موضوعية: 衍生工具, 风险管理, 现金流波动性, 盈余波动性, derivatives, risk management, cash flow volatility, earning volatility

Relation: 厦门大学学报(哲学社会科学版),2016,(01):132-141; XMDS201601014; https://dspace.xmu.edu.cn/handle/2288/162137

الاتاحة: https://dspace.xmu.edu.cn/handle/2288/162137