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題名:臺灣短期利率模型樣本外預測之實證研究
書刊名:證券市場發展季刊
作者:李政峰連春紅 引用關係廖四郎 引用關係徐守德 引用關係
作者(外文):Lee, Cheng-fengLien, Chun-hungLiao, Szu-langShyu, David
出版日期:2009
卷期:21:2=82
頁次:頁151-181
主題關鍵詞:短期利率模型預測績效預測準確性檢定預測涵蓋性檢定Short-term interest rate modelForecasting performancePredictive accuracyForecast encompassing
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:7
  • 點閱點閱:71
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.Chong, Y. Y.、Hendry, D. F.(1986)。Econometric Evaluation of Linear Macroeconometric Models。Review of Economic Studies,53(4),671-690。  new window
4.Granger, C. W. J.、Newbold, P.(1973)。Some Comments on the Evaluation of Economic Forecasts。Applied Economics,5,35-47。  new window
5.Clements, M. P.、Hendry, D. F.(1993)。On the Limitations of Comparing Mean Square Forecast Errors。Journal of Forecasting,12,617-637。  new window
6.Harvey, David I.、Leybourne, Stephen J.、Newbold, Paul(1998)。Tests for Forecast Encompassing。Journal of Business & Economic Statistics,16(2),254-259。  new window
7.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
8.Fair, R. C.、Shiller, R. J.(1990)。Comparing Information in Forecasts from Econometric Models。American Economic Review,80(3),375-389。  new window
9.West, K. D.、Cho, D.(1995)。The Predictive Ability of Several Models of Exchange Rate Volatility。Journal of Econometrics,69(2),367-391。  new window
10.Aït-Sahalia, Yacine(1999)。Transition Densities for Interest Rate and Other Nonlinear Diffusions。The Journal of Finance,54(4),1361-1395。  new window
11.Bergstrom, A. R.(1983)。Gaussian Estimation of Structural Parameters in Higher Order Continuous Time Dynamic Models A. R. Bergstrom。Econometrica,51(1),117-152。  new window
12.Bergstrom, A. R.(1985)。The Estimation of Parameters in Nonstationary Higher-order Continuous-time Dynamic Models。Econometric Theory,1(3),369-385。  new window
13.Brennan, M. J.、Schwartz, E. S.(1980)。Analyzing Convertible Bonds。Journal of Financial and Quantitative Analysis,15(4),907-929。  new window
14.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
15.Merton, Robert C.(1973)。Rational Theory of Option Pricing。Bell Journal of Economics and Management Science,4,141-183。  new window
16.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
17.Nowman, K. Ben(2002)。The Volatility of Japanese Interest Rates: Evidence for Certificate of Deposit and Gensaki Rates。International Review of Financial Analysis,11(1),29-38。  new window
18.Dothan, L. U.(1978)。On the Term Structure of Interest Rates。Journal of Financial Economics,6(1),59-69。  new window
19.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
20.Bandi, Federico M.、Phillips, Peter C. B.(2003)。Fully Nonparametric Estimation of Scalar Diffusion Models。Econometrica,71(1),241-283。  new window
21.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
22.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
23.Pagan, Adrian R.、Schwert, G. William(1990)。Alternative Models for Conditional Stock Volatility。Journal of Econometrics,45(1/2),264-290。  new window
24.Vasicek, Oldrich Alfonso(1977)。An Equilibrium Characterization of the Term Structure。Journal of Financial Economics,5(2),177-188。  new window
25.葉仕國、張美菁(20031200)。臺灣貨幣市場短期利率模型的實證探討。交大管理學報,23(2),37-57。new window  延伸查詢new window
26.Diebold, Francis X.、Mariano, Roberto S.(1995)。Comparing Predictive Accuracy。Journal of Business and Economic Statistics,13(3),253-263。  new window
27.Ait-Sahalia, Y.(2002)。“Maximum Likelihood Estimation of Discretely Sampled Diffusion: A Closed-form Approximation Approach,”。Econometrica,vol.70,223-262。  new window
28.Bergstrom, A. R.(1984)。“Continuous Time Stochastic Models and Issues of Aggregation over Time,”。Handbook of Econometrics,vol. 2,1146-1210。  new window
29.Bergstrom, A. R.(1986)。“The Estimation of Open Higher-Order Continuous Time Dynamic Models with Mixed Stock and Flow Data,”。Econometric Theory,vol.2,350-373。  new window
30.Byers, S. L. and K. B. Nowman(1998)。“Forecasting U.K. and U.S. Interest Rates Using Continuous Time Term Structure Models,”。International Review of Financial Analysis,vol.7,no. 3,191-206。  new window
31.Episcopos, A.(2000)。“Further Evidence on Alternative Continuous Time Models of the Short-term Interest Rate,”。Journal of International Financial Markets, Institutions and Money,vol.10,199-212。  new window
32.Hong, Y.、Li, H.、Zhao, F.(2004)。Out-of-Sample Performance of Discrete Time Spot Interest Rate Models。Journal of Business and Economic Statistics,22,457-473。  new window
33.Nowman, K. B.(1998)。“Continuous-Time Short Term Interest Rate Models,”。Applied Financial Economics,vol.8,401-407。  new window
34.Nowman, K. B. and B. Saltoglu(2003)。“Continuous Time and Nonparametric Modelling of U.S. Interest Rate Models,”。International Review of Financial Analysis,vol.12,25-34。  new window
35.Treepongkaruna, S. and S. Gray(2003)。“On the Robustness of Short-term Interest Rate Models,”。Accounting and Finance,vol.43,87- 121。  new window
圖書
1.Newbold, P.、Granger, C. W. J.(1986)。Forecasting Economic Time Series。Academic Press。  new window
 
 
 
 
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