Reference: | 中文文獻 1. 莊旭明(2012), ‘跨國金融危機擴散效果之分析-以Copula模型為分析方法’,政大碩博士論文,經濟系 2. 林楙然(2012), ‘在極端事件下亞洲股票市場傳遞效果分析’,政大碩博士論文,金融系 3. 劉彩卿與陳欽賢(2012), ‘STATA基礎操作與統計模型應用’,雙葉書廊 英文文獻 1. Aebi, V., Sabato, G. and Schmid, M.(2012), ‘Risk management, corporate governance, and bank performance in the financial crisis’, Journal of Banking & Finance,Vol.36(12),pp.3213-3226. 2. Allen, F. and Gale, D.(2000), ‘Financial contagion’ Journal of Political Economy, Vol(108),pp.1-33. 3. Bollerslev, T.(1986), ‘Generalized autoregressive conditional Heteroscedasticity’ Journal of Econometrics,Vol.31(3),pp.307-327. 4. Bollerslev, T., Engle, R.F. and Wooldridge, J. M.(1988), ‘A capital asset pricing model with time-varying covariance’,Journal of Political Economy. Vol.96, pp. 116-131. 5. Boss, M., Elsinger, H., Summer F. and Thurner, S.(2004), ‘Network topology of the interbank market’, Quantitative Finance, Vol.4(6),pp.677-684. 6. De Haan, J. and Poghosyan, T.(2012), ‘Size and earnings volatility of US bank holding companies’, Journal of Banking & Finance,Vol.36(11),pp.3008-3016. 7. Eichengreen, B., Mody, A., Nedljkovic, M. and Sarno, L.(2012), ‘How the subprime crisis went global: Evidence from bank credit default swap spreads’, Journal of International Money and Finace,Vol.31(5),pp.1299-1318. 8. Engle, R. F., Lilien, D. M. and Robins R.P.(1987),‘Estimating time varying risk premia in the term structure: the Arch-M model’Econometrica.Vol.55(2), pp.391-407. 9. Engle,R.F.(1982),‘Autoregressive conditional heteroscedasticity with estimates of the variance of united kingdom inflation’, Econometrica, Vol. 50(4),pp.987- 1007. 10. Fong, T.P.W. and Wong A.Y.T.(2012), ‘Gauging potential sovereign risk contagion in Europe’, Journal of Economics Letters,Vol.115(3),pp.496-499. 11. Frexias, X.,Parigi, B.M. and Rochet, J.C.(2000), ‘Systemic risk,interbank relations and liquidity provision by the central bank’, Journal of Money,Credit and Banking, Vol.32(2),pp.611-638. 12. Gorton, G. and Metrick, A.(2012), ‘Securitized banking and the run on repo’, Journal of Financial Economics,Vol.104(3),pp.425-451. 13. Guo, F., Chen C.R. and Huang Y.S. (2011), ‘Markets contagion during financial crisis: A regime-switching approach’, Journal of International Review of Economics and Financial,Vol.20(1),pp.95-109. 14. Hertzel, M.G. and Officer, M.S.(2012), ‘Industry contagion in loan spreads’, Journal of Financial Economics,Vol.103(3),pp.493-506. 15. Lenzua,S. and Tedeschi, G.(2012), ‘Systemic risk on different interbank network topologies’,Physica A,Vol.391(18),pp.4331-4341. 16. Martinez-Jaramillo, S., Pérez, P., Embriz, F.A. and Gallo Dey, F.L. (2010), ‘Systemic risk, financial contagion and financial fragility’, Journal of Economic Dynamics & Control ,Vol.34(11),pp.2358-2374. 17. Memmel, C. and Sachs, A.(2011), ‘Contagion in the interbank market and its determinants’, Journal of Financial Stability,Vol.9(1),pp.46-54. 18. Moon, G.H. and Yu, W.C. (2010), ‘Volatility spillovers between the US and CHINA stock markets: structural break test with symmetric and asymmetric GARCH approaches’, Global Economic Reviews.Vol.39(2),pp.129-149. 19. Paas, T. and Kuusk, A. (2012), ‘Contagion of financial crises: what does the empirical evidence show?’, Baltic Journal of Management,Vol.7 (1),pp.25-48. 20. Pastor L. and Veronesi P. (2012), ‘Uncertainty about government policy and stock prices’, Journal of Finance,Vol.67(4),pp.1219-1264. 21. Prati, A., Bartolini, L. and Bertola, G.(2003), ‘The overnight interbank market: evidence from the G-7 and the euro zone’, Journal of Banking & Finance , Vol.27(10), pp.2045-2083. 22. Upper, C. (2011), ‘Simulation methods to assess the danger of contagion in interbank markets’, Journal of Financial Stability,Vol.7(3),pp.111-125. 23. Euribor panel bank,http://www.euribor-rates.eu/panelbanks.asp |