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題名:臺灣短期利率模型之預測績效
書刊名:企業管理學報
作者:李政峰連春紅 引用關係陳榮方 引用關係楊敏里 引用關係
作者(外文):Lee, Cheng-fengLien, Chun-hungChen, Jung-fangYang, Min-li
出版日期:2006
卷期:68
頁次:頁57-86
主題關鍵詞:短期利率模型CKLS模型均數復歸樣本外預測績效Short-term interest rate modelCKLS modelMean reversionOut-of-sample forecasting performance
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(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:6
  • 點閱點閱:16
期刊論文
1.Ross, Stephen A.、Ingersoll, Jonathan E. Jr.、Cox, John C.(1979)。An Analysis of Variable Rate Loan Contracts。The Journal of Finance,35(2),389-403。  new window
2.Dahlquist, Magnus(1996)。On Alternative Interest Rate Processes。Journal of Banking and Finance,20(6),1093-1119。  new window
3.Gray, S. F.(1996)。Modelling the Conditional Distribution of Interest Rates as a Regime-switching Process。Journal of Financial Economics,42,27-62。  new window
4.Fair, R. C.、Shiller, R. J.(1990)。Comparing Information in Forecasts from Econometric Models。American Economic Review,80(3),375-389。  new window
5.Ait-Sahalia, Yacine(1999)。Transition Densities for Interest Rate and Other Nonlinear Diffusions。Journal of Finance,54,1361-1395。  new window
6.Ait-Sahalia, Yacine(2002)。Maximum Likelihood Estimation of Discretely Sampled Diffusion: A Closed-form Approximation Approach。Econometrica,70,223-262。  new window
7.Bergstrom, A. R.(1983)。Gaussian Estimation of Structural Parameters in Higher-Order Continuous Time Dynamic Models。Econometrica,51,117-152。  new window
8.Bergstrom, A. R.(1984)。Continuous Time Stochastic Models and Issues of Aggregation over Time。Handbook of Econometrics,2,1146-1210。  new window
9.Bergstrom, A. R.(1985)。The Estimation of Parameters in Nonstationary Higher-Order Continuous Time Dynamic Models。Econometric Theory,1,369-385。  new window
10.Bergstrom, A. R.(1986)。The Estimation of Open Higher-Order Continuous Time Dynamic Models with Mixed Stock and Flow Data。Econometric Theory,2,350-373。  new window
11.Byers, S. L.、Nowman, K. B.(1998)。Forecasting Rates Using Continuous Time Term Structure Models。International Review of Financial Analysis,7(3),191-206。  new window
12.Lo, Andrew W.(1988)。Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data。Econometric Theory,4,231-247。  new window
13.Nowman, K. B.(2002)。The Volatility of Japanese Interest Rates Evidence for Certificate of Deposit and Gensaki Rates。International Review of Financial Analysis,11,29-38。  new window
14.Nowman, K. B.、Saltoglu, B.(2003)。Continuous Time and Nonparametric Modelling of U.S. Interest Rate Models。International Review of Financial Analysis,12,25-34。  new window
15.Brennan, M. J.、Schwartz, E. S.(1980)。Analyzing Convertible Bonds。Journal of Financial and Quantitative Analysis,15(4),907-929。  new window
16.Brenner, R. J.、Harjes, R. H.、Kroner, K. F.(1996)。Another Look at Models of the Short-Term Interest Tate。Journal of Financial and Quantitative Analysis,31(1),85-107。  new window
17.Duffie, D.、Singleton, K. J.(1993)。Simulated Moments Estimation of Markov Models of Asset Prices。Econometrica,61(4),929-952。  new window
18.Florens-Zmirou, D.(1993)。On Estimating the Diffusion Coefficient from Discrete Observations。Journal of Applied Probability,30(4),790-804。  new window
19.Nowman, K. B.(1997)。Gaussian Estimation of Single-factor Continuous Time Models of the Term Structure of Interest Rates。Journal of Finance,52(4),1695-1706。  new window
20.Merton, R.(1973)。Rational Theory of Option Pricing。Bell Journal of Economics and Management Science,4,141-183。  new window
21.Dothan, L. U.(1978)。On the Term Structure of Interest Rates。Journal of Financial Economics,6(1),59-69。  new window
22.Bandi, Federico M.、Phillips, Peter C. B.(2003)。Fully Nonparametric Estimation of Scalar Diffusion Models。Econometrica,71(1),241-283。  new window
23.林常青、洪茂蔚、管中閔(20020300)。臺灣短期利率的動態行為--狀態轉換模型的應用。經濟論文,30(1),29-55。new window  延伸查詢new window
24.Chan, Kalok C.、Karolyi, George Andrew、Longstaff, Francis A.、Sanders, Anthony B.(1992)。An Empirical Comparison of Alternative Models of the Short-term Interest Rate。Journal of Finance,47(3),1209-1227。  new window
25.Cox, John C.、Ingersoll, Jonathan E. Jr.、Ross, Stephen A.(1985)。A Theory of the Term Structure of Interest Rates。Econometrica,53(2),385-407。  new window
26.Vasicek, Oldrich Alfonso(1977)。An Equilibrium Characterization of the Term Structure。Journal of Financial Economics,5(2),177-188。  new window
27.Glosten, Lawrence R.、Jagannathan, Ravi、Runkle, David E.(1993)。On the Relation Between the Expected Value and the Volatility on the Nominal Excess Returns on Stocks。Journal of Finance,48(5),1779-1801。  new window
研究報告
1.Hong, Y.、Li, H.、Zhao, F.(2002)。Out-of-Sample Performance of Spot Interest Rate Models。  new window
學位論文
1.張美菁(2000)。短期利率隨機變動模型之實證研究(碩士論文)。高雄第一科技大學。  延伸查詢new window
圖書
1.Bergstrom, A. R.(1990)。Continuous Time Econometric Modelling。Oxford:Oxford University Press。  new window
 
 
 
 
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