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題名:外匯期貨交叉避險效果、避險期間及共整合--以韓圓、泰銖及馬來幣為避險對象
書刊名:臺灣期貨與衍生性商品學刊
作者:黃一祥 引用關係
出版日期:2009
卷期:8
頁次:頁52-76
主題關鍵詞:外匯期貨避險交叉避險效果避險期間共整合
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:6
  • 點閱點閱:27
期刊論文
1.Eaker, M. R.、Grant, D. M.(1987)。Cross-Hedging Foreign Currency Risk。Journal of International Money and Finance,6,85-105。  new window
2.Stein, J. L.(1961)。The simulancous determination of spot and futures prices。American Economic Review,51,1012-1025。  new window
3.林筠、李春華(19930700)。最適避險比率估計方法之研究。證券市場發展,19,110-131。new window  延伸查詢new window
4.史綱、何中達、黃一祥(20010400)。交叉避險效果與共整合--以新臺幣為例。證券市場發展,13(1)=49,31-62。new window  延伸查詢new window
5.Aggarvval, R.、DeMaskey, A. L.(1997)。Using derivatives in major currencies for cross-hedging currency risks in Asia emerging markets。Journal of Futures Markets,17,781-796。  new window
6.Chang, J. S. K.、Shanker, L.(1986)。Hedging effectiveness of currency option and currency futures。Journal of Futures Markets,6,289-305。  new window
7.Dales, C.(1981)。The hedging effectiveness of currency futures markets。Journal of Futures Markets,1,77-88。  new window
8.Ferguson, Robert、Leistikow, Dean(1998)。Are regression approach futures hedge ratios stationary?。Journal of Futures Markets,18,851-866。  new window
9.Gastineau, Gary L.(1995)。The currency hedging decision: A search for synthesis in asset allocation。Financial Analysis Journal,51,8-17。  new window
10.Grammatikos, T.、Saunders, A.(1983)。Stability and the hedging performance of foreign currency futures。Journal of Futures Markets,3,295-305。  new window
11.Hill, J.、Schneeweis, T.(1982)。The hedging effectiveness of currency futures。Journal of Financial Research,2,660-663。  new window
12.Lien, D.、Shrestha, K.(2007)。An empirical analysis of the relationship between hedge ratio and hedging horizon using wavelet analysis。Journal of Futures Markets,27,127-150。  new window
13.Malliaris, A. G.、Urrutia, J. L.(1991)。The impact of lengths of estimation periods and hedging horizon on the effectiveness of a hedge: Evidence from foreign currency futures。Journal of Futures Markets,11,271-289。  new window
14.臧大年(1993)。期貨避險比例之估計。證券市場發展,18,1-24。new window  延伸查詢new window
15.Schwert, G. W.(1987)。Effects of model specification on tests for unit roots in macroeconomic data。Journal of Monetary Economics,18,73-103。  new window
16.Anderson, Ronald W.、Danthine, Jean-pierre(1981)。Cross hedging。Journal of Political Economy,89(6),1182-1196。  new window
17.Grossman, S. J.(1977)。The existence of futures markets, noisy rational expectations and informational externalities。Review of Economic Studies,44,431-449。  new window
18.Powers, M. J.(1970)。Does futures trading reduce price fluctuations in the cash markets?。American Economic Review,60,460-464。  new window
19.Pizzi, M. A.、Economopoulos, A. J.、O'Neill, H. M.(1998)。An examination of the relationship between stock index cash and futures markets: A cointegration approach。Journal of Futures Markets,18(3),297-305。  new window
20.Benet, B. A.(1992)。Hedging period length and ex-ante futures hedging effectiveness: The case of foreign exchange risk cross hedges。Journal of Futures Markets,12,163-175。  new window
21.Working, Holbrook(1953)。Futures trading and hedging。American Economic Review,43(3),314-343。  new window
22.Dickey, D. A.、Fuller, W. A.(1981)。Likelihood Ratio Tests for Autoregressive Time Series with a Unit Root。Econometrica,49,1057-1072。  new window
23.Hill, Joanne、Schneeweis, T.(1981)。A Note on the Hedging Effectiveness of Foreign Currency Futures。Journal of Future Markets,1(4),659-664。  new window
24.Johansen, S.(1991)。Estimation and Hypothesis Testing of Cointegrating Vectors in Gaussian Vector Autoregressive Model。Econometrica,59(6),1551-1580。  new window
25.Markowitz, Harry M.(1952)。Portfolio Selection。The Journal of Finance,7(1),77-91。  new window
26.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
27.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
28.Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica,55(2),251-276。  new window
29.Ederington, Louis H.(1979)。The Hedging Performance of the New Futures Markets。Journal of Finance,34(1),157-170。  new window
30.Johnson, Leland L.(1960)。The Theory of Hedging and Speculation in Commodity Futures。The Review of Economic Studies,27(3),139-151。  new window
31.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
32.Phillips, Peter C. B.、Perron, Pierre(1988)。Testing for a unit root in time series regression。Biometrika,75(2),335-346。  new window
33.黃一祥、王明隆(1994)。外匯期貨最適交叉衡抵:GARCH模式之應用。證券管理,12(12),1-12。  延伸查詢new window
34.Braga, F. S.、Martin, L. J.、Meilke, K. D.(1989)。Cross hedging the Italian Lira/ US dollar exchange rate with Deutech mark futures。The Journal of Futures Markets,9,87-99。  new window
35.Hardy, Charles O.、Lyon, Leverett S.(1923)。The theory of hedging。Journal of Political Economy,31,276-287。  new window
36.Urrutia, J. L.、Malliaris, A. G.(1991)。Tests of random walk of hedging ratio and measures of hedging effectiveness for stock indexes and foreign currencies。The Journal of Futures Markets,11,55-68。  new window
37.Geppert, John M.(1995)。A Statistical Model for the Relationship between Futures Contract Hedging Effectiveness and Investment Horizon Length。Journal of Futures Markets,15(5),507-536。  new window
38.Chen, S. S.、Lee, C. F.、Shrestha, K.(2004)。An Empirical Analysis of the Relationship between the Hedge Ratio and Hedging Horizon: A Simultaneous Estimation of the Short- and Long-Run Hedge Ratios。Journal of Futures Markets,24,359-386。  new window
39.Chang, E. C.、Wong, K. P.(2003)。Cross-Hedging with Currency Options and Futures。Journal of Financial and Quantitative Analysis,38,555-574。  new window
會議論文
1.龔尚智、陳秋龍(1992)。外匯期貨交叉避險變動參數模型。第一屆證券金融市場理論與實務研討會,630-655。  延伸查詢new window
學位論文
1.劉弘毅(1990)。如何運用外匯期貨來規避新臺幣兌美元的匯率風險(碩士論文)。輔仁大學。  延伸查詢new window
2.岑蕙娟(1989)。匯率風險管理--期貨契約最適交叉避險之研究(碩士論文)。國立台灣大學。  延伸查詢new window
 
 
 
 
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