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題名:臺灣外匯市場投機性泡沫研究--卡爾曼濾波器之應用
書刊名:明新學報
作者:梁雪富張資北
作者(外文):Liang, Sheue-fuhChang, Zhi-pei
出版日期:2008
卷期:34:1
頁次:頁141-159
主題關鍵詞:狀態空間模型卡爾曼濾波器泡沫匯率State space modelKalman filterBubbleExchange rate
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:8
  • 點閱點閱:31
期刊論文
1.Froot, Kenneth A.、Obstfeld, Maurice(1991)。Intrinsic Bubbles: The Case of Stock Prices。The American Economic Review,81(5),1189-1214。  new window
2.Flood, R. P.、Hodrick, R. J.(1990)。On Testing for Speculative Bubbles。Journal of Economic Perspectives,4(2),85-101。  new window
3.陳禮潭(1999)。投機泡沫、模型誤設與外匯市場-台灣有效匯率之實證分析。經濟論文叢刊,27(1),43-68。new window  延伸查詢new window
4.莊希豐、陳亞為(2003)。台灣外匯市場泡沫之研究。企銀季刊,26(2)。  延伸查詢new window
5.Burmeister, E.、Wall, K. D.(1982)。Kalman Filtering Estimation of Unobserved Rational Expectation with Application to the German Hyperinflation。Journal of Econometric,20,255-284。  new window
6.Diba, B. T.、Grossman, H. I.(1988)。The Theory of Rational Bubbles in the Stock Markets。The Economic Journal,746-754。  new window
7.Diba, B. T.、Grossman, H. I.(1988)。Explosive Rational Bubbles in Stock Market?。The American Economic Review,78(3),520-530。  new window
8.Hamilton, J. D.(1986)。On Testing Self-fulfilling Speculative Price Bubbles。International Economic Review,27(3),545-552。  new window
9.Hamilton, J. D.、Whiteman, C. H.(1985)。The Observable Implications of Self-fulfilling Expectation。Journal of Monetary Economics,16(3),353-373。  new window
10.Wu, Y.(1997)。Rational Bubbles in the Stock Market: Accounting for the U.S Stock-Price Volatility。Economic Inquiry,35(2),309-319。  new window
11.Woo W. T.(1987)。Some Evidence of Speculative Bubbles in the Foreign Markets。Journal of Money, Credit, and Banking,19(4),498-514。  new window
12.Wu Y.(1995)。Are There Rational Bubbles in Foreign Exchange Market? Evidence from an Alternative Test。Journal of International Money and Finance,14(1),27-46。  new window
13.Flood, Robert P.、Garber, Peter M.(198008)。Market Fundamentals versus Price Level Bubbles: The First Tests。Journal of Political Economy,88(4),745-770。  new window
14.Granger, C. W. J.(1969)。Investigation Causal Relations by Econometric Models and Cross-spectral Methods。Econometrica,37(3),424-438。  new window
15.West, K. D.(1987)。A Standard Monetary Model and the Variability of the Deutschmark-Dollar Exchange Rate。The Journal of International Economics,23,57-76。  new window
16.Blanchard, O. J.、Watson, M. W.(1982)。Bubbles, Rational Expectation and Financial Markets。Lexington Books,387-389。  new window
17.Meese, Richard A.、Rogoff, Kenneth S.(1983)。Empirical Exchange Rate Models of the Seventies: Do They Fit Out of Sample?。Journal of International Economics,14(1/2),3-24。  new window
18.Meese, Richard A.(1986)。Testing for Bubbles in Exchange Markets: A Case of Sparkling Rates?。Journal of Political Economy,94(2),345-373。  new window
19.吳致寧(19950300)。貨幣學派之匯率決定模型與匯率預測--臺灣之實證研究。經濟論文,23(1),159-187。new window  延伸查詢new window
20.Hausman, Jerry A.(1978)。Specification tests in econometrics。Econometrica: Journal of the Econometric Society,46(6),1251-1271。  new window
21.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
22.Phillips, Peter C. B.、Perron, Pierre(1988)。Testing for a unit root in time series regression。Biometrika,75(2),335-346。  new window
23.LeRoy, Stephen F.、Porter, Richard D.(1981)。The Present-Value Relation: Tests Based on Implied Variance Bounds。Econometrica,49(3),555-574。  new window
24.West, Kenneth D.(1987)。A Specification Test for Speculative Bubbles。The Quarterly Journal of Economics,102(3),553-580。  new window
研究報告
1.Diba, B. T.、Grossman, H. I.(1984)。Rational Bubbles in the Price of Gold。Cambridge, Mass:N.B E.R.。  new window
學位論文
1.方博弘(1997)。台美匯率泡沫檢定-轉換迴歸模型之應用(碩士論文)。淡江大學。  延伸查詢new window
2.Qin, X.、Randolph, T. G. K.(2005)。Bubbles, Can We Spot Them? Crashes, Can We Predict Them?(博士論文)。Vienna Graduate School of Finance。  new window
圖書
1.Durlauf, S. N.、Hooker, M. A.(1994)。Misspecification versus bubbles in the Cagan hyperinflation model。Oxford University Press。  new window
 
 
 
 
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