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題名:Forward Pricing Efficiency and Risk Premium of Stock Indices Futures in Pacific-Rim Countries: A Fractinoal (Co)integration Analysis
書刊名:經濟研究. 臺北大學經濟學系
作者:劉曦敏 引用關係
作者(外文):Liu, Shi-miin
出版日期:2002
卷期:38:2
頁次:頁165-201
主題關鍵詞:遠期定價效率分數共整合持有成本基差Forward pricing efficiencyFractional (co)integrationCost-of-carryBasis
原始連結:連回原系統網址new window
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  • 被引用次數被引用次數:期刊(1) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:1
  • 共同引用共同引用:0
  • 點閱點閱:43
期刊論文
1.Bilson, J. F. O.(1981)。The "Speculative Efficiency" Hypothesis。Journal of Business,54(3),435-451。  new window
2.Hosking, J. R. M.(198104)。Fractional differencing。Biometrika,68(1),165-176。  new window
3.Phillips, P. C. B.、Hansen, B. E.(1990)。Statistical Inference in Instrumental Variables Regression with I(1) Processes。Review of Economic Studies,57(1),99-125。  new window
4.Baillie, R. T.、Lippens, R. E.、McMahon, P. C.(1983)。Testing Rational Expectations and Efficiency in the Foreign Exchange Market。Econometrica,51,553-563。  new window
5.Cheung, Y. W.、Lai, K. S.(1993)。A fractional cointegration analysis of purchasing power parity。Journal of Business Economics and Statistics,11(1),103-112。  new window
6.Brenner, R. J.、Kroner, K. F.(1995)。Arbitrage, Cointegration, and Testing the Unbiasedness Hypothesis in Financial Markets。Journal of Financial and Quantitative Analysis,30(1),23-42。  new window
7.Hakkio, Craig S.、Rush, Mark(1989)。Market Efficiency and Cointegration: An Application to the Sterling and Deutschemark Exchange Markets。Journal of International Money and Finance,8(1),75-88。  new window
8.Diebold, F. X.、Rudebusch, G. D.(1989)。Long Memory and Persistence in Aggregate Output。Journal of Monetary Economics,24,189-209。  new window
9.Hansen, Lars Peter、Hodrick, Robert J.(1980)。Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis。Journal of Political Economy,88(5),829-853。  new window
10.Geweke, J. F.、Porter‐Hudak, S.(1983)。The estimation and application of long memory time series models。Journal of Time Series Analysis,4(4),221-238。  new window
11.Beck, S. E.(1994)。Cointegration and Market Efficiency in Commodities Futures Markets。Applied Economics,26,249-257。  new window
12.Copeland, L. S.(1991)。Cointegration Tests with Daily Exchange Rate Data。Oxford Bulletin of Economics and Statistics,53,185-198。  new window
13.Danthine, J. P.(1978)。Information, futures prices, and stabilizing speculation。Journal of Economics Theory,17(1),79-98。  new window
14.Fang, H.、Kon, S. L.、Michael, L.(1994)。Fractal Structure In Currency Futures Price Dynamics。The Journal of Futures Markets,14,169-181。  new window
15.Granger, C. W. J.、Joyeux, Roselyne(1980)。An introduction to long-memory time series models and fractional differencing。Journal of Time Series Analysis,1(1),15-29。  new window
16.Granger, Clive W. J.(1986)。Developments in the study of co-integrated Economic Variables。Oxford Bulletin of Economics and Statistics,48(3),213-228。  new window
17.Lai, K. S.、Lai, M.(1991)。A Cointegration Test for Market Efficiency。Journal of Futures Markets,11,567-575。  new window
18.Hodrick, R. J.、Srivastava, S.(1984)。An Investigation of Risk and Return in Forward Foreign Exchange。Journal of International Money and Finance,3(1),5-29。  new window
19.Karolyi, G. Andrew、Stulz, René M.(1996)。Why do markets move together? An investigation of U.S.-Japan stock return comovements。The Journal of Finance,51(3),951-986。  new window
20.Johansen, Søren(1988)。Statistical Analysis of Cointegration Vectors。Journal of Economic Dynamics and Control,12(2/3),231-254。  new window
21.Johansen, Søren、Juselius, Katarina(1990)。Maximum Likelihood Estimation and Inference on Cointegration: with Applications to the Demand for Money。Oxford Bulletin of Economics and Statistics,52(2),169-210。  new window
22.Baillie, Richard T.、Bollerslev, Tim(1989)。Common Stochastic Trends in a System of Exchange Rates。The Journal of Finance,44(1),167-181。  new window
23.Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica,55(2),251-276。  new window
24.Dickey, David A.、Fuller, Wayne A.(1979)。Distribution of the Estimators for Autoregressive Time Series With a Unit Root。Journal of the American Statistical Association,74(366),427-431。  new window
25.Granger, Clive William John、Newbold, Paul(1974)。Spurious Regressions in Econometrics。Journal of econometrics,2(2),111-120。  new window
26.Newey, Whitney K.、West, Kenneth D.(1987)。A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix。Econometrica,55(3),703-708。  new window
27.Gupta, M.、Finnerty, J, E.、Becker, K. G.(1990)。The Intertemporal Relation between the U. S. and Japanese Stock Markets。The Journal of Finance,45(4),1297-1306。  new window
28.Chou, Chih-Hsien、劉曦敏(2003)。Parities and Spread Trading in Gold and Silver Markets: A Fractional Cointegration Analysis。Applied Financial Economics。  new window
29.Sowell, F. B.(1990)。The Fractional Unit Root Distribution。Econometrica,58(2),495-505。  new window
30.Focardi, S.(1996)。From Equilibrium to Non-linear Dynamics in Investment Management。The Journal of Portfolio Management,22,19-30。  new window
31.Krehbiel, T.、Adkins, L. C.(1993)。Cointegration Tests of the Unbiased Expectations Hypothesis in Metals Markets。The Journal of Futures Markets,13,753-763。  new window
32.Tucker, A. L.、Finnerty, J. E.、Becker, K. G.(1992)。The Intraday Interdependence Structure between U. S. and Japanese Equity Markets。The Journal of Financial Research,15,27-37。  new window
33.Antoniou, A.、Holmes, P.(1996)。Futures Market Efficiency, the Unbiasedness Hypothesis and Variance-Bounds Tests: The Case of the FTSE-100 Futures Contract。Bulletin of Economic Research,48(2),115-128。  new window
34.Booth, G. G.、Tse, Yiu Kuen(1995)。Long Memory in Interest Rate Futures Markets: A Fractional Cointegration Analysis。The Journal of Futures Markets,15,573-584。  new window
35.Cheung, Yin-Wong(1993)。Tests for Fractional Integration: A Monte Carlo Investigation。Journal of Time Series Analysis,14,331-345。  new window
36.Chowdhury, A. R.(1991)。Futures Market Efficiency: Evidence from Cointegration Tests。The Journal of Futures Markets,11,577-589。  new window
37.朱浩民(1994)。期貨市場績效的另一種檢定:補註。中國財務學刊,1(2),53-63。  延伸查詢new window
38.Craig, A.、Dravid, A.、Richardson, M.(1995)。Market Efficiency Around the Clock: Some Supporting Evidence Using Foreign-Based Derivatives。Journal of Financial Economics,39,161-180。  new window
39.Crowder, W. J.(1996)。A Note on Cointegration and International Capital Market Efficiency: A Reply。Journal of International Money and Finance,15,661-664。  new window
40.Crowder, W. J.、Hamed, A.(1993)。A Cointegration Test for Oil Futures Market Efficiency。The Journal of Futures Markets,13,933-941。  new window
41.Dywer, G. P.、Wallace, M. S.(1992)。Cointegration and Market Efficiency。Journal of International Money and Finance,11,318-327。  new window
42.Dutt, S. D.、Ghosh, D.(1995)。The Foreign Exchange Market Efficiency Hypothesis Revisited。Applied Economics Letters,2,311-315。  new window
43.Engle, C.(1996)。A Note on Cointegration and International Capital Market Efficiency。Journal of International Money and Finance,15,657-660。  new window
44.Serletis, A.、Scowcroft, D.(1991)。Informational Efficiency of Commodity Futures Prices。Applied Financial Economics,1,185-192。  new window
45.Ukpolo, V.(1995)。Exchange Rate Market Efficiency: Further Evidence from Cointegration Tests。Applied Economics Letters,2,196-198。  new window
圖書
1.Stein, J. L.(1991)。International Financial Markets: Integration, efficiency and expectations。Oxford:Basil Blackwell。  new window
2.Fuller, W. A.(1996)。Introduction to statistical time series。New York:Wiley & Sons。  new window
3.Stein, J. L.(1987)。The Economics of Futures Markets。Oxford:Basil Blackwell Inc.。  new window
 
 
 
 
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