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題名:考慮租稅因素下之利率期限結構估計
書刊名:管理研究學報
作者:周建新 引用關係于鴻福 引用關係李建儀
作者(外文):Chou, Jian-HsinYu, Hong-FwuLee, Chien-Yi
出版日期:2007
卷期:7:1
頁次:頁33-56
主題關鍵詞:利率期限結構Nelson & Siegel模型租稅因素Term structure of interest rateNelson & Siegel modelTax factor
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(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:23
  • 點閱點閱:67
期刊論文
1.周建新、黃彥騰(20050300)。應用Chebyshev Polynomials模型估計臺灣公債市場之利率期限結構。臺灣金融財務季刊,6(1),11-29。new window  延伸查詢new window
2.Pham, T. M.(1998)。Estimation of Term Structure of Interest Rates: An International Perspective。Journal of Multinational Financial Management,8(2),265-283。  new window
3.Steeley, J. M.(1991)。Estimating the Gilt-Edged Term Structure Basis Splines and Confidence。Journal of Business Finance and Accounting,18(4),513-529。  new window
4.沈中華(1998)。影響台灣貨市利率的三因子。貨幣市場雙月刊,12,4-7。  延伸查詢new window
5.周建新、于鴻福、張千雲(20030000)。以線性規劃法估計臺灣公債市場利率期限結構之實證研究。管理科學研究,1(1),31-47。new window  延伸查詢new window
6.Schaefer, S. M.(1982)。Tax Induced Clientele Effects in the Market for British Government Securities。Journal of Financial Economics,10,121-159。  new window
7.Aziz, A. R.、Prisman, E. Z.(2000)。After-tax term structures of real interest rates:Inferences from the UK linked and non-linked gilt markets。Journal of Banking & Finance,24,1433-1455。  new window
8.Lin, B. H.、Paxson D. A.(2002)。Term Structure Volatility and Bond Futures Embedded Options。Journal of Business Finance and Accounting,22(1),55-75。  new window
9.Lin, B. H.(2002)。Fitting the Term Structure of Interest Rates Using B-Spline:the Case of Taiwanese Government Bonds。Applied Financial Economics,12(1),55-75。  new window
10.Brennan, M. J.、Schwartz, E. S.(1979)。A Continuous Time Approach to the Pricing of Bonds。Journal of Banking and Finance,3(2),133-155。  new window
11.Dothan, L. U.(1978)。On the Term Structure of Interest Rates。Journal of Financial Economics,6(1),59-69。  new window
12.Hartley, H. O.(1961)。The Modified Gauss-Newton Method for the Fitting of Non-Linear Regression Functions by Least Squares。Technometrics,3(2),269-280。  new window
13.McCulloch, J. H.(1971)。Measure the Term Structure of Interest Rates。Journal of Business,44(1),19-31。  new window
14.Schaefer, S. M.(1981)。Measuring a Tax-Specific Term Structure of Interest Rates in the Market of British Government Securities。The Economic Journal,91(362),415-438。  new window
15.Cox, J. C.、Ingersoll, J. E.、Ross, S. A.(1985)。A Theory of the Term Structure of Interest Rate。Econometrica,53(2),385-408。  new window
16.Nelson, C. R.、Siegel, A. F.(1987)。Parsimonious Modeling of Yield Curves。The Journal of Business,60(4),473-489。  new window
17.蔣松原(2000)。建構台灣公債市場殖利率曲線。貨幣觀測與信用評等,22,99-119。  延伸查詢new window
18.McCulloch, J. Huston(1975)。The Tax-Adjusted Yield Curve。Journal of Finance,30(3),811-830。  new window
19.周建新、于鴻福、張千雲(20030800)。利率期限結構估計模型之實證研究。管理學報,20(4),775-804。new window  延伸查詢new window
20.Adams, K. J.、Van Deventer, D. R.(1994)。Fitting Yield Curves and Forward Rate Curves with Maximum Smoothness。The Journal of Fixed Income,4(1),52-62。  new window
21.Bliss, R. R.(1997)。Testing Term Structure Estimation Methods。Advances in Futures and Options Research,9,197-231。  new window
22.Eom, Y. H.、Subrahmanyam, M. G.、Uno, J.(1998)。Coupon Effects and the Pricing of Japanese Government Bonds: An Empirical Analysis。Journal of Fixed Income,8,69-86。  new window
23.Shea, G. S.(1984)。Pitfalls in Smoothing Interest Rate Term Structure Data: Equilibrium Models and Spline Approximation。Journal of Financial and Quantitative Analysis,19(3),253-269。  new window
24.Shea, G. S.(1985)。Interest Rate Term Structure Estimation with Exponential Splines: A Note。The Journal of Finance,40(1),319-325。  new window
25.Subramanian, K. V.(2001)。Term structure estimation in illiquid markets。Journal of Fixed Income,11(1),77-86。  new window
26.謝承熹(20000800)。以分段三次方指數函數配適臺灣公債市場之利率期限結構:線性最適化與非線性最適化之比較。中國財務學刊,8(2),25-47。new window  延伸查詢new window
27.Cox, John C.、Ingersoll, Jonathan E. Jr.、Ross, Stephen A.(1985)。An Intertemporal General Equilibrium Model of Asset Prices。Econometrica,53(2),363-384。  new window
28.李桐豪(20010300)。債券市場發展對貨幣政策之影響。中央銀行季刊,23(1),23-45。new window  延伸查詢new window
29.Vasicek, O. A.(1977)。An equilibrium characterization of term structure。Journal of Financial Economics,5(2),177-188。  new window
30.Vasicek, Oldrich A.、Fong, H. Gifford(1982)。Term Structure Modeling Using Exponential Splines。Journal of Finance,37(2),339-348。  new window
31.Heath, David C.、Jarrow, Robert A.、Morton, Andrew J.(1992)。Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation。Econometrica,60(1),77-105。  new window
32.Ho, Thomas S. Y.、Lee, Sang Bin(1986)。Term Structure Movements and Pricing Interest Rate Contingent Claims。The Journal of Finance,41(5),1011-1029。  new window
33.周建新、于鴻福、鍾韻琳(20040600)。臺灣公債市場之利率期限結構估計--Nelson and Siegel模型家族之比較。財金論文叢刊,1,25-50。new window  延伸查詢new window
研究報告
1.Mastronikola, K.(199112)。Yield Curves for Gilt-Edged Stocks: A New Model。  new window
2.Fisher, M.、Nychka, D.、Zervos, D.(199501)。Fitting the Term Structure of Interest Rates with Smoothing Splines。  new window
學位論文
1.賴曉璐(1997)。政府公債殖利率曲線形狀與免疫策略的選擇(碩士論文)。國立台灣大學。  延伸查詢new window
圖書
1.薛立言、劉亞秋(2004)。債券市場。東華書局。  延伸查詢new window
 
 
 
 
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