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題名:臺灣遠期美元外匯市場效率性之再檢定--兩狀態Markov模型的應用
書刊名:經濟論文
作者:沈中華 引用關係
出版日期:1993
卷期:21:1
頁次:頁87-115
主題關鍵詞:外匯市場美元效率性臺灣遠期檢定
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(9) 博士論文(1) 專書(1) 專書論文(0)
  • 排除自我引用排除自我引用:7
  • 共同引用共同引用:12
  • 點閱點閱:23
期刊論文
1.Quandt, R. E.(1972)。A New Approach to Estimating Switching Regressions。Journal of American Statistical Association,67,306-310。  new window
2.Hamilton, James D.(1990)。Analysis of time series subject to changes in regime。Journal of Econometrics,45(1/2),39-70。  new window
3.Tauchen, George E.、Pitts, Mark(1983)。The Price Variability-Volume Relationship on Speculative Markets。Econometrica: Journal of the Econometric Society,51(2),485-505。  new window
4.吳中書(19880300)。臺灣美元遠期外滙市場效率性之檢定。經濟論文,16(1),79-112。new window  延伸查詢new window
5.Hansen, L. P.、Hodrick, R. J.(1980)。Forward Exchange Rates as an Optimal Predictors of Future Spot Rates: An Econometric Analysis。Journal of Political Economy,88,829-853。  new window
6.Chen, Yueh H.(19920300)。The Dynamic Behavior of Forward and Spot Foreign Exchange Rate: the New Taiwan Dollar Case。經濟論文,20(1),243-266。  new window
7.Goldfeld, S. M.、Quandt, R. E.(1973)。The Estimation of Structure Shifts by Switching Regressions。Annals of Economic and Social Measurement,2,475-485。  new window
8.沈中華(19920700)。用「無拋補利率平價說」解釋臺灣利率與對美元匯率的變動。企銀季刊,16(1),1-13。  延伸查詢new window
9.Cecchetti, S.、Lam, G.、Mark, N. C.(1990)。Evaluating Empirical rests or Asset Pricing Models: Alternative Interpretation。American Economic Review,80,48-51。  new window
10.Chen, S. N.(1982)。An Examination of Risk-Return Relationship in Bull and Bear Markets Using Time-Varying Betas。Journal of Financial and Quantitative Analysis,17(2),265-286。  new window
11.Dempster, A. P.、Laird, N. M.、Rubin, D. B.(1977)。Maximum Likelihood from Incomplete Data via the EM。Journal of Royal Statistical Society Series, Series B,39,1-38。  new window
12.Fabozzi, F. J.、Francis, J. C.(1977)。Stability Test for Alphas and Betas over Bull and Bear Market Conditions。The Journal of Finance,32,10934099。  new window
13.Harris, L.(1986)。Cross-Security Tests of the Mixture of Disiribuiions?。Journal of Financial and Quantitative Analysis,21,39-46。  new window
14.Ito, T.(1988)。Use of (Time Domain) Vector Autoregressions to Test Uncovered Interest Parity。Review of Economics and Statistics,296-305。  new window
15.Kiefer, N. M.(1980)。A Note on Switching Regressions and Logistic Discrimination。Econometrica,48,1065-1069。  new window
16.Phillips, K. L.(1991)。A Two-Country Model of Stochastic Output with Changes in Regimes。Journal of International Economics,31(1/2),121-142。  new window
17.Quandt, R. E.、Ramsey, J. B.(1978)。Estimating Mixtures of Normal Distributions and Switching Regressions。Journal of American Statistical Association,73,730-752。  new window
18.Turner, C. M.、Startz, R.、Nelson, C. R.(1989)。A Markov Model of Heteroskedasticity, Risk, and Learning in the Stock Market。Journal of Financial Economics,25,3-22。  new window
19.Tyssedal, J. S.、Tjostheim, D.(1988)。An Autoregressive Model with Suddenly Changing Parameters and an Application to Stock Market Prices。Applied Statistics,37,353-369。  new window
20.Engel, Charles、Hamilton, James D.(1990)。Long Swings in the Dollar: Are They in the Data and Do Markets Know It?。American Economic Review,80(4),689-713。  new window
21.Hamilton, James D.(1989)。A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle。Econometrica: Journal of the Econometric Society,57(2),357-384。  new window
研究報告
1.Shen, C. H.、Wang, L. R.(1992)。Estimating Efficiency of Coffee Futures Markets: A Markov Switching Model。Taipei:Chung-Hua Economic Research。  new window
圖書
1.Titterington, D. M.、Srnith, A. F.、Markov, U. E.(1985)。Statistical Analysis of Finite Mixture Distributions。New York:John Wiley。  new window
 
 
 
 
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