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題名:Random Walks and Predictability in Foreign Exchange Rates
書刊名:中國財務學刊
作者:何佳劉憶如
出版日期:1993
卷期:1:1
頁次:頁79-92
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(1) 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:1
  • 共同引用共同引用:0
  • 點閱點閱:15
期刊論文
1.Abuaf, Niso、Jorion, Philippe(1990)。Purchasing Power Parity in the Long Run。Journal of Finance,45(1),157-176。  new window
2.Bekaert, Geert、Hodrick, Robert J.(1992)。Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets。Journal of Finance,47(2),467-509。  new window
3.Chiang, Thomas C.(1988)。The Forward Rate As a Predictor of the Future Spot Rate--A Stochastic Coefficient Approach。Journal of Money Credit and Banking,2,212-232。  new window
4.Cornell, Bradford W.、Dietrich, J. Kimball(1987)。The Efficiency of the Market for Foreign Exchange under Floating Exchange Rates。The Review of Economics and Statistics,60,111-120。  new window
5.Giddy, Ian H.、Dufey, Gunter(1975)。The Random Behavior of Flexible Exchange Rates: Implications for Forecasting。Journal of International Business Studies,6,1-32。  new window
6.Hamao, Yasushi(1988)。An Empirical Examination of the Arbitrage Pricing Theory: Using Japanese Data。Japan and the World Economy,1,45-61。  new window
7.Harvey, Campbell(1991)。The World Price of Covariance Risk。Journal of Finance,46,111-157。  new window
8.Levich, Richard M.(1981)。An Examination of Overshooting Behavior in the Foreign Exchange Market。Group of Thirty Occasional Studies,3。  new window
9.Hsieh, David(1988)。The Statistical Property of Daily Foreign Exchange Rates: 1974-1983。Journal of International Economics,24,129-145。  new window
10.Huang, Roger D.(1987)。Expectations of Exchange Rates and Differential Inflation Rates: Further Evidence on Purchasing Power Parity in Efficient Markets。Journal of Finance,42(1),69-79。  new window
11.Huizinga, John(1987)。An Empirical Investigation of the Long-Run Behavior of Real Exchange Rates。Carnegie-Rochester Conference Series on Public Policy,27,149-214。  new window
12.Liu, Christina Y.(1986)。Tests of Expected Real Profits in the Forward Foreign Exchange Market。Economics Letters,21,57-60。  new window
13.Liu, Christina Y.、He, Jia(1991)。A Variance-Ratio Test of Random Walks in Foreign Exchange Rates。Journal of Finance,46,773-785。  new window
14.Liu, Christina Y.、He, Jia(1991)。Do Real Exchange Rates Follow Random Walks? A Heteroscedasticity-Robust Autocorrelation Test。International Economic Journal,5,39-48。  new window
15.Liu, Christina Y.、He, Jia(1992)。On Risk-Premia in Foreign Currency Futures。The Financial Review,27(4),571-587。  new window
16.Lo, Andrew W.、MacKinlay, Craig A.(1989)。The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation。Journal of Econometrics,40,203-238。  new window
17.Logue, Dennis E.、Sweeney, Richard J.、Willett, Thomas D.(1978)。Speculative Behavior of Foreign Exchange Rates During the Current Float。Journal of Business Research,6,159-174。  new window
18.Mark, Nelson C.(1985)。On Time Varying Risk Premia in the Foreign Exchange Market: an Econometric Analysis。Journal of Monetary Economics,16,3-18。  new window
19.Meese, Richard A.、Singleton, Kenneth J.(1982)。On the Unit Roots and the Empirical Modeling Exchange Rates。Journal of Finance,37,1029-1034。  new window
20.Wolff, Christian G. P.(1987)。Forward Foreign Exchange Rates, Expected Spot Rates, and Premia: A Signal-Extraction Approach。Journal of Finance,4(2),395-406。  new window
21.Cochrane, John H.(1988)。How Big is the Random Walk in GNP?。Journal of Political Economy,96(5),893-920。  new window
22.Campbell, John Y.、Hamao, Yasushi(1992)。Predictable Stock Returns in the United States and Japan: A Study of Long-Term Capital Market Integration。Journal of Finance,47(1),43-69。  new window
23.Chen, Nai-fu、Roll, Richard、Ross, Stephen A.(1986)。Economic Forces and the Stock Market。Journal of Business,59(3),383-403。  new window
24.Baillie, Richard T.、Bollerslev, Tim(1989)。Common Stochastic Trends in a System of Exchange Rates。The Journal of Finance,44(1),167-181。  new window
25.Lo, Andrew W.、MacKinlay, A. Craig(1988)。Stock market prices do not follow random walks: Evidence from a simple specification test。Review of Financial Studies,1(1),41-66。  new window
研究報告
1.Brown, S.、Otsuki, T.(1990)。A Global Asset Pricing Model。New York University。  new window
2.Ferson, Wayne E.、Harvey, Campbell(1992)。The Risk and Predictability of International Equity Returns。Duke University。  new window
3.He, Jia、Liu, Christina Y.(1992)。A Joint Variance-Ratio Test Random Walks in Stock Prices。University of Houston。  new window
4.Solnik, Bruno(1991)。Using the Predictability of International Asset Returns。Group HEC-School of Management。  new window
圖書
1.Aliber, Robert(1978)。Exchange Risk and Corporate International Finance。New York:John Wiley & Sons。  new window
圖書論文
1.Hansen, Lars Peter、Hodrick, Robert J.(1983)。Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models。Exchange Rates and International Macroeconomics。Chicago:The University of Chicago Press。  new window
 
 
 
 
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