English
12 (2) 2017
Lan tỏa suất sinh lợi từ thị trường chứng khoán Mỹ sang thị trường chứng khoán Việt Nam: Phân tích trong miền tần số
Tác giả liên hệ, Email:Tóm tắt
Từ khóa
Tài liệu tham khảo
Agmon, T. (1972). The Relations Among Equity Markets: A Study of Share Price Co-Movements in the United States , United Kingdom , Germany and Japan. The Journal of Finance, 27(4), 839–855.
Ahmed S. Abou-Zaid. (2011). Volatility Spillover Effects In Emerging MENA Stock Markets. Review Of Applied Economics, 7(1–2).
Ali, S., Butt, B. Z., & Kashif ur Rehman. (2011). Comovement Between Emerging and Developed Stock Markets: An Investigation Through Cointegration Analysis. World Applied Sciences Journal, 12(4), 395–403.
Baxter, M., & King, R. G. (1999). Measuring Business Cycles : Approximate Band-Pass Filters For Economic Time Series. The Review of Economics and Statistics, 81(November), 575–593.
Breitung, J., & Candelon, B. (2006). Testing for short- and long-run causality : A frequency-domain approach. Journal of Econometrics, 132, 363–378. http://doi.org/10.1016/j.jeconom.2005.02.004
Buss, G. (2010). Asymmetric Baxter- King filter. Scientific Journal of Riga Technical University, 42, 95–99.
Chan, L., Lien, D., & Weng, W. (2008). Financial interdependence between Hong Kong and the US : A band spectrum approach. International Review of Economics and Finance, 17, 507–516. http://doi.org/10.1016/j.iref.2007.02.001
Ciner, C. (2011). International Review of Financial Analysis Information transmission across currency futures markets : Evidence from frequency domain tests. International Review of Financial Analysis, 20(3), 134–139. http://doi.org/10.1016/j.irfa.2011.02.010
Geweke, J. (1982). Measurement of Linear Dependence and Feedback Betwveen Multiple Time Series. Journal of the American Statistical Association, 77(378), 304–313.
Gradojevic, N. (2013). Causality between Regional Stock Markets: A Frequency Domain Approach. Panoeconomicus, 76(February 2012), 633–647. http://doi.org/10.2298/PAN1305633G
Granger, C. W. J. (1969). Investigating Causal Relations by Econometric Models and Cross-spectral Methods. Econometrica, 37(3), 424–438.
Granger, C. W. J., & Lin, J. (1995). Causality in the long run. Econometric Theory, 11(3), 530–536.
Gujarati. (2004). Basic Econometrics. The McGraw−Hill.
Hodrick, R. J., & Prescott, E. C. (1997). Postwar U . S . Business Cycles: An Empirical Investigation. Journal of Money, Credit and Banking, 29(1), 1–16.
Hosoya, Y. (1991). The decomposition and measurement of the interdependency between second-order stationary processes. Probability Theory and Related Fields, 88, 429–444.
Kharchenko, I. & P. T. (2013). Estimation of Volatilities and Spillover Effects Between Developed and Emerging Market Economies. Master Thesis.
Ko, K.-S., & Lee, S.-B. (1991). A comparative analysis of the daily behavior of stock returns : Japan , the US and the Asian NICS. Journal of Business Finance & Accounting, 18(January), 219–234.
Larsson, G., & Vasi, T. (2012). Comparison of detrending methods. Uppsala University.
Li, H. (2007). International linkages of the Chinese stock exchanges: a multivariate GARCH analysis International linkages of the Chinese stock exchanges: a multivariate GARCH analysis. Applied Financial Economics, 17, 285–297. http://doi.org/10.1080/09603100600675557
Ozer, M., & Kamisli, M. (2016). Frequency Domain Causality Analysis of Interactions between Financial Markets of Turkey. International Business Research, 9(1), 176–186. http://doi.org/10.5539/ibr.v9n1p176
Ravn, M. O., & Uhlig, H. (2002). Notes on adjusting the Hodrick-Prescott filter for the frequency of observations. The Review of Economics and Statistics, 84(May), 371–380.
Yanfeng, W. (2013). The Dynamic Relationships between Oil Prices and the Japanese Economy: A Frequency Domain Analysis. Review of Economics & Finance, (1993), 57–67.
This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.