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題名：兩階段TREE/LOGIT短期匯率反轉門檻值模型
書刊名：經濟研究. 臺北大學經濟學系
作者：莊瑞珠／溫淑梅／陳秀淋／周靖秦
作者(外文)：Chuang, Rwei-ju／Wen, Shu-mei／Chen, Show-lin／Chou, Ching-chin
出版日期：2019
卷期：55:2
頁次：頁247-277
主題關鍵詞：匯率反轉；未預期總體經濟指標訊息；門檻值；兩階段模型；訊息交易策略；Trend reversion price reversal；Unexpected macroeconomic news；Thresholds；Two-stage method；News trading strategy
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:1
  • 點閱點閱:1
期刊論文
1.Mussa, M.(1976)。The Exchange Rate, the Balance of Payments and Monetary and Fiscal Policy under a Regime of Controlled Floating。Scandinavian Journal of Economics，78(2)，229-248。  new window
2.Caginalp, G.、Laurent, H.(1998)。The Predictive Power of Price Patterns。Applied Mathematical Finance，5(3/4)，181-205。  new window
3.Tanner, G.(1997)。A Note on Economic News and Intraday Exchange Rates。Journal of Banking and Finance，21(4)，573-585。  new window
4.Evans, Martin D. D.、Lyons, Richard K.(2002)。Order Flow and Exchange Rate Dynamics。Journal of Political Economy，110(1)，170-180。  new window
5.Hardouvelis, G. A.(1988)。Economic news, exchange rates and interest rates。Journal of International Money and Finance，7(1)，23-35。  new window
6.Ehrmann, Micheal、Fratzscher, Marcel(2005)。Equal size, equal role? Interest rate interdependence between the Euro Area and the United States。Economic Journal，115(506)，928-948。  new window
7.Engel, Charles W.、West, Kenneth D.(2005)。Exchange Rates and Fundamentals。Journal of Political Economy，113(3)，485-517。  new window
8.Evans, Martin D. D.、Lyons, Richard K.(2008)。How is macro news transmitted to exchange rates?。Journal of Financial Economics，88(1)，26-50。  new window
9.Ederington, Louis H.、Lee, Jae Ha(1993)。How Markets Process Information: News Releases and Volatility。Journal of Finance，48(4)，1161-1191。  new window
10.Estrella, Arturo、Mishkin, Frederic S.(1998)。Predicting U.S. Recessions: Financial Variables as Leading Indicators。Review of Economics and Statistics，80(1)，45-61。  new window
11.Fatum, Rasmus、Hutchison, Michael、Wu, Thomas(2012)。Asymmetries and state dependence: The impact of macro surprises on intraday exchange rates。Journal of the Japanese and International Economies，26(4)，542-560。  new window
12.莊瑞珠、陳秀淋、陳能靜(20120100)。影響匯率反轉因素之分析：未預期總體訊息與技術指標。輔仁管理評論，19(1)，1-25。new window  延伸查詢new window
13.Bollerslev, Tim、Cai, Jun、Somg, Frank M.(2000)。Intraday Periodicity, Long Memory Volatility, and Macroeconomic Announcement Effects in the US Treasury Bond Market。Journal of Empirical Finance，7(1)，37-55。  new window
14.Chuang, R. J.、Chou, C. C.、Chen, S. L.、Chen, N. J.(2017)。How Does Periodically Released News Impact on the Reversals of Major Currency Rates?。Journal of Probability and Statistical Sciences，15(2)，273-285。  new window
15.Moneta, F.(2005)。Does the Yield Spread Predict Recessions in the Euro Area?。International Finance，8(2)，263-301。  new window
16.Nyholm, K.(2007)。A New Approach to Predicting Recessions。Economic Notes，36(1)，27-42。  new window
17.Rebitzky, R. R.(2010)。The Influence of Fundamentals on Exchange Rates: Findings from Analyses of News Effects。Journal of Economic Surveys，24(4)，680-704。  new window
18.Nagelkerke, N. J. D.(1991)。A Note on a General Definition of the Coefficient of Determination。Biometrika，78(3)，691-692。  new window
19.Andersen, Torben G.、Bollerslev, Tim(1996)。Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies。The Journal of Finance，53(1)，219-265。  new window
20.Andersen, T. G.、Bollerslev, T.、Diebold, F. X.、Vega, C.(2003)。Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange。The American Economic Review，93(1)，38-62。  new window
21.Goodhart, C. A. E.、Hall, S. G.、Henry, S. G. B.、Pesaran, B.(1993)。News Effects in a High-frequency Model of the Sterling-dollar Exchange Rate。Journal of Applied Econometrics，8(1)，1-13。  new window
研究報告
1.Chin, D.、Geweke, J.、Miller, P.(2000)。Predicting Turning Points。  new window
圖書
1.Hosmer, D. W.、Lemeshow, S.(2000)。Applied Logistic Regression。John Wiley & Sons, Inc.。  new window
2.Cox, D. R.、Snell, E. J.(1989)。Analysis of Binary Data。London：Chapman and Hall/CRC。  new window
其他
1.Payne, R.(1996)。Announcement Effects and Seasonality in the Intra-day Foreign Exchange Market。  new window
圖書論文
1.Frankel, Jeffrey A.、Rose, Andrew K.(1995)。Empirical research on nominal exchange rates。Handbook of International Economics。Amsterdam：Elsevier Science。  new window
 
 
 
 
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