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題名:Potential Pitfalls of Markov Switching Models in the Studies of Currency Crises
書刊名:經濟論文叢刊
作者:何泰寬 引用關係
作者(外文):Ho, Tai-Kuang
出版日期:2007
卷期:35:2
頁次:頁213-247
主題關鍵詞:馬可夫轉換模型標準化概似比檢定貨幣危機認定Markov switching modelStandardized LR testCrisis identification
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:35
  • 點閱點閱:37
期刊論文
1.Edison, Hali J.(2003)。Do Indicators of Financial Crises Work? An Evaluation of an Early Warning System。International Journal of Finance and Economics,8(1),11-53。  new window
2.Frankel, Jeffrey A.、Rose, Andrew K.(1996)。Currency Crashes in Emerging Markets: An Empirical Treatment。Journal of International Economics,41(3/4),351-366。  new window
3.Mariano, Roberto S.、Abiad, Abdul G.、Gultekin, Bulent N.、Shabbir, Tayyeb、Tan, Augustine H. H.(20031200)。Markov Chains in Predictive Models of Currency Crises--With Applications to Southeast Asia。經濟論文叢刊,31(4),401-437。  new window
4.饒秀華、林修葳、黎明淵(20010900)。藉由分期MS模型分析臺灣經濟景氣狀態。經濟論文,29(3),297-319。new window  延伸查詢new window
5.徐士勛、管中閔(20011200)。九零年代臺灣的景氣循環:馬可夫轉換模型與紀卜斯抽樣法的應用。人文及社會科學集刊,13(5),515-540。new window  延伸查詢new window
6.Hansen, B. E.(1992)。The likelihood ratio test under nonstandard conditions, Testing the Markov switching model of GNP。Journal of Applied Econometrics,7,61-82。  new window
7.McConnell, Margaret M.、Perez-Quiros, Gabriel(2000)。Output Fluctuations in the United States: What Has Changed since the Early 1980's?。The American Economic Review,90(5),1464-1476。  new window
8.陳仕偉(20060300)。景氣波動變異對景氣轉折點認定之影響:跨國的實證研究。人文及社會科學集刊,18(1),37-76。new window  延伸查詢new window
9.Engel, Charles、Hamilton, James D.(1990)。Long Swings in the Dollar: Are They in the Data and Do Markets Know It?。American Economic Review,80(4),689-713。  new window
10.Hamilton, James D.(1989)。A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle。Econometrica: Journal of the Econometric Society,57(2),357-384。  new window
11.Caramazza, Francesco、Ricci, Luca、Salgado, Ranil(2004)。International financial contagion in currency crises。Journal of International Money and Finance,23(1),51-70。  new window
12.Kaminsky, Graciela L.、Reinhart, Carmen M.(1999)。The Twin Crises: The Causes of Banking and Balance-of-Payments Problems。American Economic Review,89(3),473-500。  new window
13.Hansen, Bruce E.(1996)。Erratum: The Likelihood Ratio Test Under Nonstandard Conditions: Testing the Markov Switching Model of GNP。Journal of Applied Econometrics,11(2),195-198。  new window
14.Filardo, Andrew J.(1994)。Business-cycle Phases and Their Transitional Dynamics。Journal of Business & Economic Statistics,12(3),299-308。  new window
15.Newey, Whitney K.(1985)。Maximum Likelihood Specification Testing and Conditional Moment Tests。Econometrica,53(5),1047-1070。  new window
16.陳宜廷、謝志昇(2006)。臺灣實質國民生產毛額年成長率的狀態變化意涵。經濟論文,34(1),41-91。new window  延伸查詢new window
17.Gómez-Puig, Marta、Montalvo, José G.(1997)。A New Indicator to Assess the Credibility of the EMS。European Economic Review,41(8),1511-1535。  new window
18.Martinez Peria, Maria Soledad(2002)。A Regime-switching Approach to the Study of Speculative Attacks: A Focus on EMS Crises。Empirical Economics,27(2),299-334。  new window
19.Goodwin, Thomas H.(1993)。Business-cycle Analysis with a Markov-switching Model。Journal of Business & Economic Statistics,11(3),331-339。  new window
20.Cerra, Valerie、Saxena, Sweta Chaman(2002)。Contagion, Monsoons, and Domestic Turmoil in Indonesia's Currency Crisis。Review of International Economics,10(1),36-44。  new window
21.Breunig, Robert V.、Pagan, Adrian R.(2004)。Do Markov-switching Models Capture Nonlinearities in the Data? Tests Using Nonparametric Methods。Mathematics and Computers in Simulation,64(3/ 4),401-407。  new window
22.Banaian, King、Lo, Ming-Chien(2006)。Indexing Speculative Pressure on an Exchange Rate Regime: A Case Study of Macedonia。Studies in Nonlinear Dynamics and Econometrics,10(1)。  new window
23.Mundaca, Gabriela(2004)。Modelling Probabilities of Devaluations。Economica,71(1),13-37。  new window
24.Fratzscher, Marcel(2003)。On Currency Crises and Contagion。International Journal of Finance and Economics,8(2),109-129。  new window
25.Breunig, Robert、Najarian, Serinah、Pagan, Adrian(2003)。Specification Testing of Markov Switching Models。Oxford Bulletin of Economics and Statistics,65(s1),703-725。  new window
26.Pozo, Susan、Amuedo-Dorantes, Catalina(2003)。Statistical Distributions and the Identification of Currency Crises。Journal of International Money and Finance,22(4),591-609。  new window
27.Engel, Charles、Hakkio, Craig S.(1996)。The Distribution of Exchange Rates in the EMS。International Journal of Finance and Economics,1,56-67。  new window
研究報告
1.Eichengreen, B.、Rose, A. K.、Wyplosz, C.(1996)。Contagious Currency Crises。National Bureau of Economic Research。  new window
2.Abiad, Abdul(2003)。Early Warning Systems: A Survey and a Regime-switching Approach。0。  new window
圖書
1.Kim, C. J.、Nelson, C. R.(1999)。State-space models with regime switching: classical and gibbs sampling approaches with applications。MIT Press。  new window
2.Kaminsky, Graciela L.、Reinhart, Carmen M.、Goldstein, Morris(2000)。Assessing Financial Vulnerability: An Early Warning System for Emerging Markets。Assessing Financial Vulnerability: An Early Warning System for Emerging Markets。Washington, DC。  new window
其他
1.Pontines, V.,Siregar, R.(2004)。Exchange Market Pressure and Extreme Value Theory: Incidence of Currency Crises in East Asia and Latin America,0。  new window
2.Ho, T.-K.。Extremal Analysis of Currency Crises in Taiwan,0。  new window
圖書論文
1.Glick, Reuven、Hutchison, Michael M.(2001)。Banking and Currency Crises: How Common Are Twins?。Financial Crises in Emerging Markets。Cambridge。  new window
 
 
 
 
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