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題名:最適避險比率估計方法之研究
書刊名:證券市場發展季刊
作者:林筠李春華
出版日期:1993
卷期:19
頁次:頁110-131
主題關鍵詞:比率估計最適避險
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(4) 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:4
  • 共同引用共同引用:0
  • 點閱點閱:17
期刊論文
1.Grammatikos, T.、Saunders, A.(1983)。Stability and the hedging performance of foreign currency futures。Journal of Futures Markets,3,295-305。  new window
2.Anderson, R. W.、Danthine, J. P.(1981)。Cross-Hedging。Journal of Political Economy,89,1182-1196。  new window
3.Anderson, R. W.、Danthine, J. P.(1982)。The Time Pattern of Hedging and the Volatility of Futures Prices。Review of Economic Studies,50,249-265。  new window
4.Ederington, L. H.(1979)。The Hedging Performance of the New Futures Market。The Journal of Finance,34,157-170。  new window
5.Frankle, C. T.(1980)。The Hedging Performance of the New Futures Market Comment。Journal of Finance,35,1273-1279。  new window
6.Hill, J.、Schneeweis, T.(1982)。The Hedging Effectiveness of Foreign Currency Futures。Journal of Financial Research,5,95-104。  new window
7.Malliaris, A. G.、Urrutia, Jorge L.(1991)。Tests of Random Walk of Hedge Ratios and Measures of Hedging Effectiveness For Stock Indexes and Foreign Currencies。Journal of Futures Markets,11(1),55-68。  new window
8.Cecchetti, Stephen G.、Cumby, Robert E.、Figlewski, Stephen(1988)。Estimation of the Optimal Futures Hedge。The Review of Economics and Statistics,70(4),623-630。  new window
9.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
10.Johnson, Leland L.(1960)。The Theory of Hedging and Speculation in Commodity Futures。The Review of Economic Studies,27(3),139-151。  new window
11.Myers, R. J.(1991)。Estimating Time-Varying Optimal Hedge Ratios on Futures Markets。Journal of Futures Markets,11(1),39-53。  new window
12.Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1008。  new window
圖書
1.Theil, Henri(1971)。Principles of Econometrics。New York:John Wiley & Sons。  new window
 
 
 
 
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