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題名:臺灣、日本、英國及美國公債殖利率報酬關聯性之研究
書刊名:僑光學報
作者:徐清俊陳彥豪
作者(外文):Hsu, Ching-junChen, Yen-hao
出版日期:2003
卷期:22
頁次:頁127-141
主題關鍵詞:共整合向量誤差修正模型衝擊反應函數預測誤差變異數分解CointegrationVector error correction modelImpulse responseVariance decomposition
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(0) 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:0
  • 共同引用共同引用:33
  • 點閱點閱:65
期刊論文
1.Clare, A. D.、Maras, M.、Thomas, S. H.(1995)。The integration and efficiency of international bond markets。Journal of Business Finance and Accounting,22(2),313-322。  new window
2.Kemeth, L. Smith(2002)。Government Bound Market Seasonality Diversification and Cointegration : International Evidence。The Journal of Financial Research,25,203-221。  new window
3.劉祥熹、張英信(20001000)。東亞主要國家股價與匯率關聯性之研究。證券金融,67,1-33。  延伸查詢new window
4.謝文良(20021200)。價格發現、資訊傳遞、與市場整合--臺股期貨市場之研究。財務金融學刊,10(3),1-31。new window  延伸查詢new window
5.Johansen, S.(1991)。Estimation and Hypothesis Testing of Cointegrating Vectors in Gaussian Vector Autoregressive Model。Econometrica,59(6),1551-1580。  new window
6.Lin, Antsong、Swanson, Peggy E.(1993)。Measuring Global Money Market Interrelationships: An Investigation of Five Major World Currencies。Journal of Banking and Finance,17(1),609-628。  new window
7.Lin, A.、Swanson, P. E.(1997)。The U.S. dollar in global money markets: A multivariate cointegration analysis。Quarterly Review of Economics and Finance,37(1),139-150。  new window
8.Lin, Antsong、Leu, Shirley(19940900)。Offshore Money Market Integration-Evidence of the U.S. Dollar Yields in Taiwan, Singapore, and the United Kingdom。中山管理評論,2(3),1-13。  new window
9.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
10.Phylaktis, K.(1999)。Capital Market Integration in the Pacific Basin region: An Impulse Response Analysis。Journal of International Money and Finance,18,267-287。  new window
11.Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica,55(2),251-276。  new window
學位論文
1.方立弘(2000)。利率共整合與共同趨勢之相關課題探討(碩士論文)。國立高雄第一科技大學。  延伸查詢new window
2.周樹偉(1996)。亞太地區股票,債券及期貨市場資產報酬分式型共整合關係存在性之探討(碩士論文)。銘傳管理學院。  延伸查詢new window
3.李愷莉(1996)。臺灣與新加坡債券市場共整合關係的研究(碩士論文)。國立中山大學。  延伸查詢new window
 
 
 
 
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