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本書包括了三十篇以計量經濟學為主的學術論文,作者以黃柏農及楊慶偉教授為主。這些論文大部分都是應用在總體經濟學,金融市場及能源市場的經濟模式。這三十篇論文大致上可以分成四類:
(1)格蘭傑爾因果模式,
(2)格蘭傑爾追蹤資料的因果模式,
(3)格蘭傑爾門檻廻歸,
(4)間接因果,隨機漫步,長期記憶,股市波動模式。
本書可以做為經濟或金融研究所的教課本,也可在產業界把它當做參考書,但是重點放在應用方面。黃柏農教授在此要特別感謝他的論文指導恩師俄克拉何馬大學的C.K.Liew教授。同時他更要感謝加州大學聖地牙哥
分校的格蘭傑爾教授(C.W.J.Granger,2003年諾貝爾獎得主)的鼓勵及指導。也在此一併致謝黃明正教授對他在西維琴尼亞大學當訪問學者時的幫助與鼓勵。楊慶偉教授在此要感謝西維琴大學教計量經濟學的維特(
T. Witt) 教授;同時感謝當時國立中正大學管理學院的洪家駿院長的賞識。
本書最大的特色是以格蘭傑爾因果檢定做為模式的圭臬,豪無疑問地它是現代科學中最具有突破性的驗証模式。
(1)格蘭傑爾因果模式,
(2)格蘭傑爾追蹤資料的因果模式,
(3)格蘭傑爾門檻廻歸,
(4)間接因果,隨機漫步,長期記憶,股市波動模式。
本書可以做為經濟或金融研究所的教課本,也可在產業界把它當做參考書,但是重點放在應用方面。黃柏農教授在此要特別感謝他的論文指導恩師俄克拉何馬大學的C.K.Liew教授。同時他更要感謝加州大學聖地牙哥
分校的格蘭傑爾教授(C.W.J.Granger,2003年諾貝爾獎得主)的鼓勵及指導。也在此一併致謝黃明正教授對他在西維琴尼亞大學當訪問學者時的幫助與鼓勵。楊慶偉教授在此要感謝西維琴大學教計量經濟學的維特(
T. Witt) 教授;同時感謝當時國立中正大學管理學院的洪家駿院長的賞識。
本書最大的特色是以格蘭傑爾因果檢定做為模式的圭臬,豪無疑問地它是現代科學中最具有突破性的驗証模式。
作者簡介
楊慶偉教授在1979年取得西維琴尼亞大學(West Virginia University)經濟學博士學位,並於08/1979-05/1980期間,在該校的礦產能源學院擔任博士後研究員。隨後的一年他在印地安那-普渡大學韋恩堡分校
(Indiana University-Purdue University at Fort Wayne)擔任訪問助理教授(August 1980~May 1981)。從1982年8月開始,他被賓州州立克萊恩大學(Clarion University of Pennsylvania)聘請為助理教授,直到
2013年5月以正教授退休為止,他在高等教育界服務了三十多年。在這三十多年期間,楊慶偉教授曾經兩度回到國立中正大學客座講學(September 1992~July 1993; September 2009~June 2010)。他在2004年5月被邀
請返台灣,主持由教育部與靜宜大學主辦的彈性理論專題演講。
楊教授著作等身,在不同的領域𥚃發表了上百篇的學術論文,包括了運籌學(Operations Research),規範經濟學期刊(Journal of Regulatory Economics),財政學季刊(Public Finance Quarterly),能源期刊
(Energy Journal),南方經濟學期刊(Southern Economic Journal),東方經濟學期刊(Eastern Economics Journal),大西洋經濟學期刊(Atlantic Economics Journal).。他也曾在大學數學期刊(The College
Mathematics Journal)和數學雜誌(Mathematics Magazine)成功地提出了証明題的解答。他有幸與2003年諾貝爾經濟學獎得主之一的格蘭傑爾(C.W.J. Granger)和黃柏農教授合作,在經濟統計季刊(Quarterly Review
of Economics and Statistics Vol.40, pp. 337-354, 2000)上, 發表了一篇影響因子很大的文章。此外他與黃柏農教授合著的文章發表在能源經濟學(Energy Economics),比較經濟學(Journal of Comparative
Economics),和平與國防(Peace and Defense Economics),應用經濟學期刊(Applied Economics),曼切斯特學院(The Manchester School),農業經濟學(Agricultural Economics),經濟模式(Economic Modelling)
,競爭法律與經濟學(Journal of Competitive Law and Economics),生態經濟學(Ecological Economics)和亞洲經濟學(Journal of Asian Economics)。
楊慶偉教授酷愛歷史研究及「紅樓夢」,曾經是「世界週刊」的專欄作家,著有《楊教授談理財》一書.他的非學術性文章刊登在「世界日報」,「中國時報」,「僑報」,「紹興縣報」,「柯橋日報」,「今日美國
(USA Today)」,「匹資堡郵報(Pittsburgh Post Gazette )」「中國郵報( China Post)」,「台北評論(Taipei Review)」等報紙。
---
黃柏農教授於1985年取得美國University of Oklahoma MBA學位,1989於同校獲得了Ph.D. in Economics學位,畢業後即回台灣國立中正大學經濟系暨國際經濟研究所服務迄今,目前為該系的特聘教授
(Distinguished Professor)。黃教授曾於07/1997 ~ 08/1998赴美國UCSD經濟系訪問一年,期間有幸與諾貝爾經濟學獎得主Professor C. W. J. Granger共同合作發表文章。黃教授亦曾於08/2006~06/2007赴美國西維
吉尼亞大學經濟系訪問一年。黃教授在服務學術界的近30年當中曾經擔任過國立中正大學經濟系系主任(08/1998~07/2001),管理學院代理院長(08/1998~01/1999),靜宜大學(Providence University)管理學院院長
(08/2003~07/2004),國立嘉義大學管理學院院長(08/2004~07/2006)。他在02/2008~07/2009期間擔任國立中正大學教務長(Dean of Academic Affairs),並於11/2012~07/2013兼代國立中正大學副校長,學術行政經
驗豐富。此外,黃教授亦擔任財團法人高等教育評鑑中心基金會(Higher Education Evaluation & Accreditation Council of Taiwan, HEEACT)系所評鑑及校務行政評鑑委員及召集人多年,學術行政評鑑經驗良多
。
黃教授學術研究專長在使用計量經濟方法來探討財務變數與總體經濟之間的關係;經濟成長、原油消費與總體經濟變數的因果檢定;經濟成長與國防支出的關係。他在這些專題上做出了傑出的貢獻,尤其是闡明了:
發展中國家的大量國防支出不利於經濟成長,但對已發展國家而言,國防支出有利經濟成長。
(Indiana University-Purdue University at Fort Wayne)擔任訪問助理教授(August 1980~May 1981)。從1982年8月開始,他被賓州州立克萊恩大學(Clarion University of Pennsylvania)聘請為助理教授,直到
2013年5月以正教授退休為止,他在高等教育界服務了三十多年。在這三十多年期間,楊慶偉教授曾經兩度回到國立中正大學客座講學(September 1992~July 1993; September 2009~June 2010)。他在2004年5月被邀
請返台灣,主持由教育部與靜宜大學主辦的彈性理論專題演講。
楊教授著作等身,在不同的領域𥚃發表了上百篇的學術論文,包括了運籌學(Operations Research),規範經濟學期刊(Journal of Regulatory Economics),財政學季刊(Public Finance Quarterly),能源期刊
(Energy Journal),南方經濟學期刊(Southern Economic Journal),東方經濟學期刊(Eastern Economics Journal),大西洋經濟學期刊(Atlantic Economics Journal).。他也曾在大學數學期刊(The College
Mathematics Journal)和數學雜誌(Mathematics Magazine)成功地提出了証明題的解答。他有幸與2003年諾貝爾經濟學獎得主之一的格蘭傑爾(C.W.J. Granger)和黃柏農教授合作,在經濟統計季刊(Quarterly Review
of Economics and Statistics Vol.40, pp. 337-354, 2000)上, 發表了一篇影響因子很大的文章。此外他與黃柏農教授合著的文章發表在能源經濟學(Energy Economics),比較經濟學(Journal of Comparative
Economics),和平與國防(Peace and Defense Economics),應用經濟學期刊(Applied Economics),曼切斯特學院(The Manchester School),農業經濟學(Agricultural Economics),經濟模式(Economic Modelling)
,競爭法律與經濟學(Journal of Competitive Law and Economics),生態經濟學(Ecological Economics)和亞洲經濟學(Journal of Asian Economics)。
楊慶偉教授酷愛歷史研究及「紅樓夢」,曾經是「世界週刊」的專欄作家,著有《楊教授談理財》一書.他的非學術性文章刊登在「世界日報」,「中國時報」,「僑報」,「紹興縣報」,「柯橋日報」,「今日美國
(USA Today)」,「匹資堡郵報(Pittsburgh Post Gazette )」「中國郵報( China Post)」,「台北評論(Taipei Review)」等報紙。
---
黃柏農教授於1985年取得美國University of Oklahoma MBA學位,1989於同校獲得了Ph.D. in Economics學位,畢業後即回台灣國立中正大學經濟系暨國際經濟研究所服務迄今,目前為該系的特聘教授
(Distinguished Professor)。黃教授曾於07/1997 ~ 08/1998赴美國UCSD經濟系訪問一年,期間有幸與諾貝爾經濟學獎得主Professor C. W. J. Granger共同合作發表文章。黃教授亦曾於08/2006~06/2007赴美國西維
吉尼亞大學經濟系訪問一年。黃教授在服務學術界的近30年當中曾經擔任過國立中正大學經濟系系主任(08/1998~07/2001),管理學院代理院長(08/1998~01/1999),靜宜大學(Providence University)管理學院院長
(08/2003~07/2004),國立嘉義大學管理學院院長(08/2004~07/2006)。他在02/2008~07/2009期間擔任國立中正大學教務長(Dean of Academic Affairs),並於11/2012~07/2013兼代國立中正大學副校長,學術行政經
驗豐富。此外,黃教授亦擔任財團法人高等教育評鑑中心基金會(Higher Education Evaluation & Accreditation Council of Taiwan, HEEACT)系所評鑑及校務行政評鑑委員及召集人多年,學術行政評鑑經驗良多
。
黃教授學術研究專長在使用計量經濟方法來探討財務變數與總體經濟之間的關係;經濟成長、原油消費與總體經濟變數的因果檢定;經濟成長與國防支出的關係。他在這些專題上做出了傑出的貢獻,尤其是闡明了:
發展中國家的大量國防支出不利於經濟成長,但對已發展國家而言,國防支出有利經濟成長。
目次
Preface
I. The Granger Causality Models in Mean and Variance
1. A Bivariate Causality Between Stock Prices and Exchange
Rates: Evidence from Recent Asian Flu
C.W.J. Granger, Bwo-Nung Huang and Chin-Wei Yang
2. An Analysis of Factors Affecting Price Volatility of the US Oil
Market
Chin-Wei Yang, Ming J. Hwang and Bwo-Nung Huang
3. Causality and Cointegration of Stock Markets among the US,
Japan and South China Growth Triangle
Bwo-Nung Huang, Chin-Wei Yang and J.W. Hu
4. Long-run Purchasing Power Parity Revisited : A Monte Carlo
Simulation
Bwo-Nung Huang and Chin-Wei Yang
5. Oil Price Movements and Stock Market Revisited: A Case of
Sector Stock Price Indexes in the G-7 Countries
B.J.Lee , Chin-Wei Yang and Bwo-Nung Huang
6. Volatility of Changes in G-5 Exchange Rates and Its Market
Transmission Mechanism
Bwo-Nung Huang and Chin-Wei Yang
7. Stock Market Integration ―An Application of the Stochastic
Permanent Breaks Model
Bwo-Nung Huang and Robert C.W. Fok
8. State Dependent Correlation and Lead-Lag Relation when Volatility of Markets is Large: Evidence from the US and Asian Emerging Markets
Bwo-Nung Huang, Soong-Nark Sohng and Chin-Wei Yang
9. Oil Price Volatility
Ming J. Hwang, Chin-Wei Yang , Bwo-Nung Huang and H. Ohta
II. Granger Causality Models Using Panel Data
1. Causal Relationship between Energy Consumption and GDP
Growth Revisited: A Dynamic Panel Data Approach
Bwo-Nung Huang, Ming J. Hwang and Chin-Wei Yang
2. Military Expenditure and Economic Growth across Different
Groups: A Dynamic Panel Granger-Causality Approach
H. C. Chang, Bwo-Nung Huang and Chin-Wei Yang
3. New Evidence on Demand for Cigarette: A Panel Data Approach
Bwo-Nung Huang, Chin-Wei Yang and Ming J. Hwang
III. Granger Causality Models with Thresholds
1. Demand for Cigarette Revisited: An Application of the Threshold
Regression Model
Bwo-Nung Huang and Chin-Wei Yang
2. Does More Energy Consumption Bolster Economic Growth?
An Application of Nonlinear Threshold Model
Bwo-Nung Huang, Ming J. Hwang and Chin-Wei Yang
3. The Dynamics of a Nonlinear Relationship between Crude Oil Spot and Futures Prices: A Multivariate Threshold Regression Approach
Bwo-Nung Huang, Ming J. Hwang and Chin-Wei Yang
4. On the Relationship between Military Expenditure, Threat and
Economic Growth: A Nonlinear Approach
A.J. Yang, William N. Trumbull, Chin-Wei Yang and Bwo-Nung Huang
5. Factors Affecting an Economy‘s Tolerance and Delay of
Response to the Impact of a Positive Oil Price Shock
Bwo-Nung Huang
6. Defense Spending and Economic Growth across the Taiwan
Strait: A Threshold Regression Model
Chung-Nang Lai, Bwo-Nung Huang and Chin-Wei Yang
7. Tourism Development and Economic Growth: A Nonlinear
Approach
Wan-Chen Po and Bwo-Nung Huang
IV. Indirect Granger Causality, Random Walk, Long-term Memory, Volatility of Stock Market and Other Econometric Models
1. Industrial Output and Stock Price Revisited: An Application of
the Multivariate Indirect Causality Model
Bwo-Nung Huang and Chin-Wei Yang
2. The Fractal Structure in Multinational Stock Returns
Bwo-Nung Huang and Chin-Wei Yang
3. A Comparative Statistical Analysis of the Taiwan Market and the New York Stock Exchange Using Five-Minute Data
Bwo-Nung Huang and Chin-Wei Yang
3. Do Asian Stock Market Prices Follow Random Walk? Evidence from the Variance Ratio Test
Bwo-Nung Huang
5. The Impact of Financial Liberalization on Stock Market
Volatility in Emerging Markets
Bwo-Nung Huang and Chin-Wei Yang
6. An Analysis of Exchange Rate Linkage Effect: An Application of the Multivariate Correlation Analysis
Bwo-Nung Huang and Chin-Wei Yang
7. An Empirical Investigation of Trading Volume and Return
Volatility of the Taiwan Stock Market
Bwo-Nung Huang and Chin-Wei Yang
8. The Impact of Settlement Time on the Volatility of Stock Market
Revisited: An Application of the Iterated Cumulative Sums of
Squares Detection Method for Changes of Variance
Bwo-Nung Huang and Chin-Wei Yang
9. The US and Taiwan Trade Balance Revisited: A Comparison of
Instrumental Variable and the VAR models
Bwo-Nung Huang, Soong-Nark Sohng and Chin-Wei Yang
10. The Random Walk Hypothesis of the Emerging Stock Markets
Revisited: A Comparison of Test Power of the Variance Ratio and Rescaled Range Models
Bwo-Nung Huang, Chin-Wei Yang and Walter C. Labys
11. Are Mathematics, Economics and Accounting Courses Important Determinants in Financial Management: A Rank Order Approach
Rod Rahsler, Ken Hung, Chin-Wei Yang and Thomas Stuhldreher
About the Book
Autobiography of Professor Bwo-Nung Huang
Autobiography of Professor Chin-Wei Yang
I. The Granger Causality Models in Mean and Variance
1. A Bivariate Causality Between Stock Prices and Exchange
Rates: Evidence from Recent Asian Flu
C.W.J. Granger, Bwo-Nung Huang and Chin-Wei Yang
2. An Analysis of Factors Affecting Price Volatility of the US Oil
Market
Chin-Wei Yang, Ming J. Hwang and Bwo-Nung Huang
3. Causality and Cointegration of Stock Markets among the US,
Japan and South China Growth Triangle
Bwo-Nung Huang, Chin-Wei Yang and J.W. Hu
4. Long-run Purchasing Power Parity Revisited : A Monte Carlo
Simulation
Bwo-Nung Huang and Chin-Wei Yang
5. Oil Price Movements and Stock Market Revisited: A Case of
Sector Stock Price Indexes in the G-7 Countries
B.J.Lee , Chin-Wei Yang and Bwo-Nung Huang
6. Volatility of Changes in G-5 Exchange Rates and Its Market
Transmission Mechanism
Bwo-Nung Huang and Chin-Wei Yang
7. Stock Market Integration ―An Application of the Stochastic
Permanent Breaks Model
Bwo-Nung Huang and Robert C.W. Fok
8. State Dependent Correlation and Lead-Lag Relation when Volatility of Markets is Large: Evidence from the US and Asian Emerging Markets
Bwo-Nung Huang, Soong-Nark Sohng and Chin-Wei Yang
9. Oil Price Volatility
Ming J. Hwang, Chin-Wei Yang , Bwo-Nung Huang and H. Ohta
II. Granger Causality Models Using Panel Data
1. Causal Relationship between Energy Consumption and GDP
Growth Revisited: A Dynamic Panel Data Approach
Bwo-Nung Huang, Ming J. Hwang and Chin-Wei Yang
2. Military Expenditure and Economic Growth across Different
Groups: A Dynamic Panel Granger-Causality Approach
H. C. Chang, Bwo-Nung Huang and Chin-Wei Yang
3. New Evidence on Demand for Cigarette: A Panel Data Approach
Bwo-Nung Huang, Chin-Wei Yang and Ming J. Hwang
III. Granger Causality Models with Thresholds
1. Demand for Cigarette Revisited: An Application of the Threshold
Regression Model
Bwo-Nung Huang and Chin-Wei Yang
2. Does More Energy Consumption Bolster Economic Growth?
An Application of Nonlinear Threshold Model
Bwo-Nung Huang, Ming J. Hwang and Chin-Wei Yang
3. The Dynamics of a Nonlinear Relationship between Crude Oil Spot and Futures Prices: A Multivariate Threshold Regression Approach
Bwo-Nung Huang, Ming J. Hwang and Chin-Wei Yang
4. On the Relationship between Military Expenditure, Threat and
Economic Growth: A Nonlinear Approach
A.J. Yang, William N. Trumbull, Chin-Wei Yang and Bwo-Nung Huang
5. Factors Affecting an Economy‘s Tolerance and Delay of
Response to the Impact of a Positive Oil Price Shock
Bwo-Nung Huang
6. Defense Spending and Economic Growth across the Taiwan
Strait: A Threshold Regression Model
Chung-Nang Lai, Bwo-Nung Huang and Chin-Wei Yang
7. Tourism Development and Economic Growth: A Nonlinear
Approach
Wan-Chen Po and Bwo-Nung Huang
IV. Indirect Granger Causality, Random Walk, Long-term Memory, Volatility of Stock Market and Other Econometric Models
1. Industrial Output and Stock Price Revisited: An Application of
the Multivariate Indirect Causality Model
Bwo-Nung Huang and Chin-Wei Yang
2. The Fractal Structure in Multinational Stock Returns
Bwo-Nung Huang and Chin-Wei Yang
3. A Comparative Statistical Analysis of the Taiwan Market and the New York Stock Exchange Using Five-Minute Data
Bwo-Nung Huang and Chin-Wei Yang
3. Do Asian Stock Market Prices Follow Random Walk? Evidence from the Variance Ratio Test
Bwo-Nung Huang
5. The Impact of Financial Liberalization on Stock Market
Volatility in Emerging Markets
Bwo-Nung Huang and Chin-Wei Yang
6. An Analysis of Exchange Rate Linkage Effect: An Application of the Multivariate Correlation Analysis
Bwo-Nung Huang and Chin-Wei Yang
7. An Empirical Investigation of Trading Volume and Return
Volatility of the Taiwan Stock Market
Bwo-Nung Huang and Chin-Wei Yang
8. The Impact of Settlement Time on the Volatility of Stock Market
Revisited: An Application of the Iterated Cumulative Sums of
Squares Detection Method for Changes of Variance
Bwo-Nung Huang and Chin-Wei Yang
9. The US and Taiwan Trade Balance Revisited: A Comparison of
Instrumental Variable and the VAR models
Bwo-Nung Huang, Soong-Nark Sohng and Chin-Wei Yang
10. The Random Walk Hypothesis of the Emerging Stock Markets
Revisited: A Comparison of Test Power of the Variance Ratio and Rescaled Range Models
Bwo-Nung Huang, Chin-Wei Yang and Walter C. Labys
11. Are Mathematics, Economics and Accounting Courses Important Determinants in Financial Management: A Rank Order Approach
Rod Rahsler, Ken Hung, Chin-Wei Yang and Thomas Stuhldreher
About the Book
Autobiography of Professor Bwo-Nung Huang
Autobiography of Professor Chin-Wei Yang
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