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題名:外匯風險管理--外匯期貨及遠期外匯契約之避險效益分析
書刊名:證券市場發展季刊
作者:楊明晶董澍琦 引用關係劉孟宜
作者(外文):Yang, Ming-jingDoong, Shuh-chyiLiu, Meng-yi
出版日期:2010
卷期:22:3=87
頁次:頁105-136
主題關鍵詞:外匯期貨遠期外匯避險效益交叉避險外匯風險管理Currency futuresCurrency forwardsHedging effectivenessCross hedgingForeign exchang risk management
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(2) 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:2
  • 共同引用共同引用:1
  • 點閱點閱:21
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.Working, H.(1962)。New Concepts Concerning Futures Markets and Prices。American Economic Review,51(2),431-459。  new window
3.Anderson, Ronald W.、Danthine, Jean-pierre(1981)。Cross hedging。Journal of Political Economy,89(6),1182-1196。  new window
4.Cotter, John、Hanly, Jim(2006)。Reevaluating Hedging Performance。Journal of Futures Markets,26(7),677-702。  new window
5.Gagnon, L.、Lypny, G. J.、McCurdy, T. H.(1998)。Hedging Foreign Currency Portfolios。Journal of Empirical Finance,5,197-220。  new window
6.Shalit, H.、Yitzhaki, S.(1984)。Mean-Gini, Portfolio Theory, and the Pricing of Risky Assets。Journal of Finance,39(5),449-468。  new window
7.Yitzhaki, S.(1983)。On an Extension of the Gini Inequality Index。International Economic Review,24(3),617-628。  new window
8.Chen, S. S.、Lee, C. F.、Shrestha, K.(2001)。On a Mean-Generalized Semivariance Approach to Determining the Hedge Ratio。Journal of Futures Markets,21(6),581-598。  new window
9.Howard, Charles T.、D'Antonio, L. J.(1984)。A Risk-Return Measure of Hedging Effectiveness。Journal of Financial and Quantitative Analysis,19(1),101-112。  new window
10.Floros, C.、Vougas, D. V.(2004)。Hedge Ratios in Greek Stock Index Futures Market。Applied Financial Economics,14(15),1125-1136。  new window
11.Ederington, Louis H.(1979)。The Hedging Performance of the New Futures Markets。Journal of Finance,34(1),157-170。  new window
12.Adam-Muller, A. F.(2000)。Exports and Hedging Exchange Rate Risks: The Multi-Country Case。Journal of Futures Markets,20,843-864。  new window
13.Aggarwal, R.、DeMaskey, A. L.(1997)。Using Derivatives in Major Currencies for Cross-Hedging Currency Risks in Asian Emerging Markets。Journal of Futures Markets,17,781-796。  new window
14.Aggarwal, R.、DeMaskey, A. L.(1997)。Cross-Hedging Currency Risks in Asian Emerging Markets Using Derivatives in Major Currencies。Journal of Portfolio Management,23(1),88-95。  new window
15.Broll, U.、Wong, K. P.(1999)。Hedging with Mismatched Currencies。Journal of Futures Markets,19,859-875。  new window
16.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
17.Chen, S. S.、Lee, C. F.、Shrestha, K.(2003)。Futures Hedge Ratios: A Review。Quarterly Review of Economics and Finance,43,433-465。  new window
18.Chen, S. S.、Lee, C. F.、Shrestha, K.(2008)。Do the Pure Martingale and Joint Normality Hypotheses Hold for Futures Contracts? Implications for the Optimal Hedge Ratios。Quarterly, Review of Economics and Finance,48,153-174。  new window
19.Dale, C.(1981)。The Hedging Effectiveness of Currency Futures Markets。Journal of Futures Markets,1,77-88。  new window
20.Howard, C. T.、D'Antonio, L. J.(1987)。A Risk-Return. Measure of Hedging Effectiveness: A Reply。Journal of Financial and Quantitative Analysis,22,377-381。  new window
21.Kolb, R. W.、Okunev, J.(1992)。An Empirical Evaluation of the Extended Mean-Gini Coefficient for Futures Hedging。The Journal of Futures Markets,12,177-186。  new window
22.Kolb, R. W.、Okunev, J.(1993)。Utility Maximizing Hedge Ratios in the Extended Mean-Gini Framework。The Journal of Futures Markets,13,597-609。  new window
23.Kuo, C. K.、Chen, K. W.(1995)。A Risk-Return Measure of Hedging Effectiveness: A Simplification。Journal of Futures Markets,15,39-44。  new window
24.Lien, D.、Luo, X.(1993)。Estimation the Extended Mean-Gini Coefficient for Futures Hedging。Journal of Futures Markets,13,665-676。  new window
25.Lien, D.、Shaffer, D. R.(1999)。A Note on Estimating the Minimum Extended Gini Hedge Ratio。Journal of Futures Markets,19,101-113。  new window
26.Mun, K. C.、Morgan, G. E.(1997)。Cross-Hedging Foreign Exchange Rate Risks: The Case of Deposit Money Banks in Emerging Asian Countries。Pacific-Basin Finance Journal,5,215-230。  new window
27.Satyanarayan, S.(1998)。A Note on A Risk-Return Measure of Hedging Effectiveness。Journal of Futures Markets,18,867-870。  new window
28.Shaffer, D. R.、DeMaskey, A.(2005)。Currency Hedging Using the Mean-Gini Framework。Review of Quantitative Finance and Accounting,25,125-137。  new window
29.Shalit, H.(1995)。Mean-Gini Hedging in Futures Markets。Journal of Futures Markets,15,617-635。  new window
30.Smith, A.(2005)。Partially Overlapping Time Series: A New Model for Volatility Dynamics in Commodity Futures。Journal of Applied Econometrics,20,405-422。  new window
31.Yitzhaki, Shlomo(1982)。Stochastic Dominance, Mean Variance and Gini's Mean Difference。American Economic Review,72,178-185。  new window
學位論文
1.周怡貞(2004)。台灣進出口商最適避險時機之探討--以新台幣對美元為例(碩士論文)。國立成功大學。  延伸查詢new window
2.路宛諭(2007)。外匯避險策略之研究--以新台幣兌美元為例(碩士論文)。國立中央大學。  延伸查詢new window
3.王曉恬(2007)。台灣退休基金之最適外匯避險策略研究。臺灣大學。  延伸查詢new window
4.黃富纖(2008)。外匯避險模型下之避險績效評估。臺灣大學。  延伸查詢new window
5.蔡臻怡(2006)。外匯避險對海外投資的報酬率與風險的影響--以台灣與美國的股票市場為例。臺灣大學。  延伸查詢new window
6.張鳳逸(2008)。匯率風險管理之議題研究。元智大學。new window  延伸查詢new window
圖書
1.Kendall, M.、Stuart, A.(1977)。The Advanced Theory of Statistics。London。  new window
 
 
 
 
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