考量狀態轉換下的銀行利率和匯率風險管理__臺灣人文及社會科學引文索引資料庫

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題名：	考量狀態轉換下的銀行利率和匯率風險管理
書刊名：	期貨與選擇權學刊
作者：	李享泰／吳瑞益／林信助／柯冠成
作者(外文)：	Lee, Hsiang-tai／Wu, Jui-yi／Lin, Shinn-juh／Ko, Kuan-cheng
出版日期：	2012
卷期：	5:1
頁次：	頁1-36
主題關鍵詞：	動態避險；利率風險；匯率風險；GARCH模型；狀態轉換；Dynamic hedge；Interest rate risk；Exchange rate risk；GARCH model；Regime-switching
原始連結：	連回原系統網址
相關次數：	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:0 共同引用:0 點閱:25

期刊論文
1.	Allayannis, G.、Ofek, E.(2001)。Exchange rate exposure, hedging, and the use of foreign currency derivatives。Journal of International Money & Finance，20(2)，273-296。
2.	Pi-Anguita, J. V.(1999)。A Cointegration Approach to Capital Mobility: Evidence for Belgium。Atlantic Economic Journal，27(1)，53-59。
3.	Chamberlain, Sandra、Howe, John S.、Popper, Helen(1997)。The exchange rate exposure of U.S. and Japanese banking institutions。Journal of Banking and Finance，21(6)，871-892。
4.	Hirtle, Beverly J.(1997)。Derivatives, Portfolio Composition, and Bank Holding Company Interest Rate Risk Exposure。Journal of Financial Services Research，12，243-266。
5.	Tong, Wilson H. S.(1996)。An Examination of Dynamic Hedging。Journal of International Money and Finance，15(1)，19-35。
6.	Choi, J. J.、Elyasiani, E.、Kopecky, K. J.(1992)。The sensitivity of bank stock returns to market, interest and exchange rate risks。Journal of Banking & Finance，16，983-1009。
7.	Hamilton, J. D.、Susmel, R.(1994)。Autoregressive conditional heteroscedasticity and changes in regime。Journal of Econometrics，64，307-333。
8.	Engle, Robert F.、Kroner, Kenneth F.(1995)。Multivariate simultaneous generalized arch。Econometric Theory，11(1)，122-150。
9.	Ku, Y. H.、Chen, H.、Chen, K.(2007)。On the application of the dynamic conditional correlation model in estimating optimal time-varying hedge ratios。Applied Economics Letters，14(7)，503-509。
10.	Sharpe, William F.(1966)。Mutual fund performance。Journal of Business，39(1)，119-138。
11.	Engle, Robert F.(2002)。Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models。Journal of Business & Economic Statistics，20(3)，339-350。
12.	Tse, Y. K.、Tsui, Albert K. C.(2002)。A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model with time-varying correlations。Journal of Business and Economic Statistics，20(3)，351-362。
13.	Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics，31(3)，307-327。
14.	Bollerslev, Tim(1990)。Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model。The Review of Economics and Statistics，72(3)，498-505。
15.	Diebold, Francis X.、Mariano, Roberto S.(1995)。Comparing Predictive Accuracy。Journal of Business and Economic Statistics，13(3)，253-263。
16.	Ederington, Louis H.(1979)。The Hedging Performance of the New Futures Markets。Journal of Finance，34(1)，157-170。
17.	Gray, Roger W.、Rutledge, David J. S.(1971)。The Economics of Commodity Futures Markets: A Survey。Review of Marketing and Agricultural Economics，39(4)，57-108。
18.	Kroner, Kenneth F.、Sultan, Jahangir(1993)。Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures。Journal of Financial and Quantitative Analysis，28(4)，535-551。
19.	Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica，50(4)，987-1008。
20.	Koppenhaver, G. D.(1985)。Bank funding risks, risk aversion, and the choice of futures hedging instrument。Journal of Finance，40，241-255。

其他
1.	Alizadeh, Amir, and Nikos Nomikos(2004)。A Markov regime switching approach for hedging stock indices。
2.	Anderson, Ronald W., and Jean-Pierre Danthine(1981)。Cross hedging。
3.	Billio, Monica, and Massimiliano Caporin(2005)。Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis。
4.	Brailford, Tim, Jack H.W. Penm, and Chin Diew Lai(2006)。Effectiveness of high interest rate policy on exchange rates: A reexamination of the Asian financial crisis。
5.	Brewer III, Elijah, Bernadette A. Minton, and James T. Moser(2000)。Interest rate risk derivatives and bank lending。
6.	Carter, David A., and Joseph F. Sinkey(1998)。The use of interest-rate derivatives by end-users: The case of large community banks。
7.	Fernandez, Viviana(2008)。Multi-period hedge ratios for a multi-asset portfolio when accounting for returns co-movement。
8.	Grammatikos, Theoharry, Anthony Saunders, and Itzhak Swary(1986)。Returns and risks of US bank foreign currency activities。
9.	Harris, John M., M. Wayne Marr, and Michael F. Spivey(1991)。Exchange rate movements and the stock returns of U.S. commercial banks。
10.	Hetemi-J, Abdultiasser, and Manuchehr Irandoust(2000)。Exchange rates and interest rates: Can their causality explain international capital mobility?。
11.	Kim, Chang-Jin(1994)。Dynamic linear models with Markov-switching。
12.	Lee, Hsiang-Tai(2009)。Optimal futures hedging under jump switching dynamics。
13.	Lee, Hsiang-Tai(2009)。A copula-based Markov regime switching GARCH model for optimal futures hedging。
14.	Lee, Hsiang-Tai(2010)。Regime switching correlation hedging。
15.	Lee, Hsiang-Tai(2011)。Hedging foreign currency portfolios under switching regimes。
16.	Lee, Hsiang-Tai, and JonathanYoder(2007)。Optimal hedging with a regime-switching time-varying correlation GARCH model。
17.	Lee, Hsiang-Tai, and JonathanYoder(2007)。A bivariate Markov regime switching GARCH approach to estimate the time varying minimum variance hedge ratio。
18.	Lee, Hsiang-Tai, JonathanYoder, Ron C. Mittelhammer, and Jill J. McCluskey(2006)。A random coefficient autoregressive Markov regime switching model for dynamic futures hedging。
19.	Lee, Tae-Hwy(1994)。Spread and volatility in spot and forward exchange rates。
20.	Levy, Haim(1981)。Optimal portfolio of foreign currencies with borrowing and lending。
21.	McCracken, Michael W.(2007)。Asymptotics for out of sample tests of Granger causality。
22.	Mun, Kyung-Chun, and George Emir Morgan(2003)。Bank foreign exchange and interest rate risk management: simultaneous versus separate hedging strategies。
23.	Santomero, Anthony M.(1997)。Commercial bank risk management: An analysis of the process。
24.	Working, Holbrook(1962)。New concepts concerning futures markets and price。

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