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題名：灰色理論與時間序列模型在匯率預測績效上之比較
書刊名：臺灣金融財務季刊
作者：鄭美幸 引用關係／詹志明
作者(外文)：Cheng, Mei-hsing／Chan, Jyh-ming
出版日期：2002
卷期：3:2
頁次：頁95-104
主題關鍵詞：灰色理論；匯率；預測；GARCH
原始連結：連回原系統網址new window
相關次數：
  • 被引用次數被引用次數:期刊(7) 博士論文(2) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:7
  • 共同引用共同引用:8
  • 點閱點閱:43
期刊論文
1.MacDonald, Ronald、Taylor, Mark P.(1992)。Exchange Rate Economics: A Survey。International Monetary Fund Staff Papers，39(1)，1-57。  new window
2.West, K. D.、Cho, D.(1995)。The Predictive Ability of Several Models of Exchange Rate Volatility。Journal of Econometrics，69(2)，367-391。  new window
3.施能仁、劉定焜(19980900)。台灣股價指數之避險操作--灰色滾動模式預測。灰色系統學刊，1(2)，101-121。  延伸查詢new window
4.Meese, Richard A.、Rogoff, Kenneth S.(1983)。Empirical Exchange Rate Models of the Seventies: Do They Fit Out of Sample?。Journal of International Economics，14(1/2)，3-24。  new window
5.Ding, Zhuanxin、Granger, Clive W. J.(1996)。Modeling volatility persistence of speculative returns: a new approach。Journal of Econometrics，73(1)，185-215。  new window
6.Somanath, V. S.(1986)。Efficient Exchange Rate Forecasts: Lagged Models Better than the Random Walk。Journal of International Money and Finance，5(2)，195-220。  new window
7.Hsieh, David A.(1988)。The Statistical Properties of Daily Foreign Exchange Rates: 1974-1983。Journal of International Economics，24，129-145。  new window
8.Mehran, J.、Shahrokhi, M.(1997)。An application of four foreign currency forecasting models to the U.S. dollar and Mexican peso。Global Finance Journal，8(2)，211-220。  new window
9.曾芳美、曾國雄(19990900)。SARIMA、模糊時間數列、模糊迴歸時間數列、灰色預測四種方法在預測應用之比較--臺灣機械產業之總產值預測為例。灰色系統學刊，2(2)，83-98。  延伸查詢new window
10.吳致寧(19950300)。貨幣學派之匯率決定模型與匯率預測--臺灣之實證研究。經濟論文，23(1)，159-187。new window  延伸查詢new window
11.Frankel, J. A.(1976)。A Monetary Approach to Exchange Rate: Doctrinal Aspects and Empirical Evidence。Scandinavian Journal of Economics，78，200-224。  new window
12.Dornbusch, Rudiger(1976)。Expectations and Exchange Rate Dynamics。Journal of Political Economy，84(6)，1161-1176。  new window
13.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics，31(3)，307-327。  new window
14.Deng, Julong(1982)。Control problem of grey systems。System Control Letter，1(5)，288-294。  new window
其他
1.張宮雄、吳欽杉(1998)。A Grey Time Series Model on Forecasting the Chinese New Yea Effect in the Taiwan Stock Marke。  new window
2.Backus, D.(1984)。Empirical Models of the Exchange Rate: Separating the Wheat from the Chaff。  new window
3.Boughton, J. M.(1987)。Tests of the Performance of Reduced-Form Exchange Rate Models。  new window
4.Branson, W. H., H. Halttunen and P. Masson(1977)。Exchange Rates in the Short Run: The Dollar-Deutschemark Rate。  new window
5.Brooks, C.(1997)。Linear and Non-Linear (non-) Forecastability of High-Frequency Exchange Rates。  new window
6.Edison, H. J.(1991)。Forecast Performance of Exchange Rate Models Revisited。  new window
7.Engle, R. F. and B. S. Yoo(1987)。Forecasting and Testing in Cointegrated System。  new window
8.Fang & Kwong(1991)。Forecating Foreign Exchange Rates。  new window
9.Frankel, J. A.(1979)。On the Mark: A Theory of Floating Exchange Rates Based on Real Interest Differentials。  new window
10.Frankel, J. A.(1982)。The Mystery of the Multiplying Marks: A Modification of the Monetary Model。  new window
11.Finn, M. G.(1986)。Forecasting the Exchange Rate: A Monetary or Random Walk Phenomenon?。  new window
12.Hakkio, C. S.(1986)。Does the Exchange Rate Follow a Random Walk? A Monte Carlo Study of Four Tests for a Random Walk。  new window
13.Hooper, P. and J. E. Morton(1982)。Fluctuations in the Dollar: A Model of Nominal and Real Exchange Rate Determination。  new window
14.MacDonald, R. & M. P. Taylor(1994)。The Monetary Model of the Exchange Rate: Long-Run Relationships, Short-Run Dynamics and How to Beat a Random Walk。  new window
15.McCurdy, T. H. and I.Morgan(1988)。Testing The Martingale Hypothesis in Deutsche Mark Futures with Models Specifying The Form of The Heteroskedasticity。  new window
16.Woo, W. T.(1985)。The Monetary Approach to Exchange Rate Determination Under Rational Expectations: The Dollar-Deutschmark (sic) Rate。  new window
 
 
 
 
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