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題名:臺灣美元遠期外滙市場效率性之檢定
書刊名:經濟論文
作者:吳中書
出版日期:1988
卷期:16:1
頁次:頁79-112
主題關鍵詞:外匯市場美元效率性臺灣遠期
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(12) 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:12
  • 共同引用共同引用:0
  • 點閱點閱:37
期刊論文
1.Giovannini, A.、Jorion, P.(1987)。Interest rates and risk premia in the stock market and in the foreign exchange market。Journal of International Money and Finance,6,107-123。  new window
2.Hansen, Lars Peter、Hodrick, Robert J.(1980)。Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis。Journal of Political Economy,88(5),829-853。  new window
3.Frankel, Jeffrey A.(1980)。Tests of rational expectations in the forward exchange market。Southern Economic Journal,46(4),1083-1101。  new window
4.Longworth, D.(1981)。Testing the Efficiency of the Canadian: U.S. Exchange Market Under the Assumption of no Risk Premium。Journal of Finance,36,43-49。  new window
5.Frenkel, Jacob A.(1977)。The forward exchange rate, expectations and the demand for money: The German hyperinflation。The American Economic Review,67(4),653-670。  new window
6.Baillie, R. T.、Lippens, R. E.、Mcmahon, P. C.(1983)。Testing Rational Expectations and Efficiency in the Foreign Exchange Market。Econometrica,51,553-563。  new window
7.Hodrick, R. J.、Srivastava, S.(1986)。The Covariation of Risk Premiums and Expected Future Spot Exchange Rates。Journal of International Money and Finance,5(Supplement),5-21。  new window
8.Domowitz, Ian、Hakkio, Craig S.(1985)。Conditional Variance and the Risk Premium in the Foreign Exchange Market。Journal of International Economics,19,47-66。  new window
9.Boothe, P.、Longworth, D.(1986)。Foreign exchange market efficiency tests: Implications of recent empirical findings。Journal of International Money and Finance,5(2),135-152。  new window
10.Hsieh, David A.(1984)。Tests of Rational Expectations and No Risk Premium in Forward Exchange Markets。Journal of International Economics,17(1/2),173-184。  new window
11.Frankel, J. A.、Stock, J. H.(1987)。Regression vs. Volatility Tests of the Efficiency of Foreign Exchange Markets。Journal of International Money and Finance,6,49-56。  new window
12.Gregory, A. W.、McCurdy, T. H.(1984)。Testing the Unbiasedness Hypothesis in the Forward Foreign Exchange Market: A Specification Analysis。Journal of International Money and Finance,3,357-368。  new window
13.Siegel, J. J.(1972)。Risk, Interest Rates and Forward Exchange。Quarterly Journal of Economics,86,303-309。  new window
14.Cornell, Bradford(1977)。Spot rates, forward rates and exchange market efficiency。Journal of Financial Economics,5(1),55-65。  new window
15.Shiller, R. J.(1981)。The Use of Volatility Measures in Assessing Market Efficiency。Journal of Finance,36(2),291-304。  new window
16.Wolff, C. C. P.(1987)。Forward Foreign Exchange Rates, Expected Spot Rates, and Premia: A Signal Extraction Approach。Journal of Finance,42(2),395-406。  new window
17.Bilson, J. F. O.(1981)。The 'Speculative Efficiency' Hypothesis。Journal of Business,54(3),435-451。  new window
18.Boothe, P.(1983)。Speculative Profit Opportunities in the Canadian Foreign Exchange Market, 1974-78。Canadian Journal of Economics,16,603-611。  new window
19.Cosset, J. C.(1984)。On the Presence of Risk Premium in Foreign Exchange Markets。Journal of International Economics,16,139-154。  new window
20.Frankel, Jeffrey A.(1982)。In Search of the Exchange Risk Premium: A Six-Currency Test Assuming Mean-Variance Optimization。Journal of International Money and Finance,1,255-274。  new window
21.Frenkel, J. A.(1978)。Purchasing Power Parity: Evidence From the 1920's。Journal of International Economics,8(2),169-191。  new window
22.Geweke, J.、Feige, E. L.(1979)。Some joint tests of the efficiency of markets for forward foreign exchange。Review of Economics and Statistics,61,334-341。  new window
23.Papadia, Francesco(1981)。Forward Exchange Rates as Predictors of Future Spot Rates and the Efficiency of the Foreign Exchange Market。Journal of Banking & Finance,5(2),217-240。  new window
24.Dornbusch, Rudiger(1976)。Expectations and Exchange Rate Dynamics。Journal of Political Economy,84(6),1161-1176。  new window
25.Fama, Eugene F.(1984)。Forward and Spot Exchange Rates。Journal of Monetary Economics,14(3),319-338。  new window
26.Fama, Eugene F.(1970)。Efficient Capital Markets: A Review of Theory and Empirical Work。The Journal of Finance,25(2),383-417。  new window
27.Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1008。  new window
28.LeRoy, Stephen F.、Porter, Richard D.(1981)。The Present-Value Relation: Tests Based on Implied Variance Bounds。Econometrica,49(3),555-574。  new window
29.Huang, Roger D.(1984)。Some Alternative Tests of Forward Exchange Rates as Predictors of Future Spot Rates。Journal of International Money and Finance,3,153-168。  new window
學位論文
1.蔡宏洲(1986)。臺灣遠期外匯市場效率性之研究(碩士論文)。東海大學。  延伸查詢new window
圖書
1.Leamer, E. E.(1978)。Specification Searches: Ad Hoc Inference with Nonexperimental Data。New York:Wiley。  new window
圖書論文
1.Stockman, A. C.(1978)。Risk, Information, and Forward Exchange Rates。The Economics of Exchange Rates: Selected Studies。London:Addison-Wesley Publishing Company。  new window
 
 
 
 
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