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題名:臺灣貨幣市場利率期限結構模型之實證研究--SR和DSR模型適用性之比較分析
書刊名:臺灣銀行季刊
作者:莊武仁黃尹亭
出版日期:1993
卷期:44:4
頁次:頁55-85
主題關鍵詞:利率期限貨幣市場臺灣
原始連結:連回原系統網址new window
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  • 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:0
  • 點閱點閱:2
期刊論文
1.Brennan, M. J.、Schwartz, E. S.(1977)。Saving Bonds, Retractable Bonds, and Callable Bonds。Journal of Financial Economics,5(1),67-88。  new window
2.Schaefer, S. M.、Schwartz, E. S.(1987)。Time Dependent Variance and the Pricing of Bond Options。The Journal of Finance,42(5),1113-1128。  new window
3.Brennan, M. J.、Schwartz, E. S.(1982)。An Equilibrium Model of Bond Pricing and a Test of Market Efficiency。Journal of Financial and Quantitative Analysis,17,301-329。  new window
4.Brennan, M. J.、Schwartz, E. S.(1979)。A Continuous Time Approach to the Pricing of Bonds。Journal of Banking and Finance,3(2),133-155。  new window
5.Bliss, R. R.、Ronn, E. I.(1989)。Arbitrage-based estimation of nonstationary shifts in the term structure of interest rates。Journal of Finance,44,591-610。  new window
6.Dieffenbach, B. C.(1975)。A quantitative Theory of risk premiums on securities with an application to the term structure of interest rates。Econometica,43,431-454。  new window
7.Culbertson, J. M.(1957)。The term structure of interest rates。Quarterly Journal of Economics,71,489-504。  new window
8.Cox, J. C.、Ingersoll, J. E.、Ross, S. A.(1985)。An intertemporal general equilibrium model of asset prices。Econometrica,53,363-384。  new window
9.Brown, S. J.、Dybvig, P. H.(1986)。The empirical implications of the Cox, Ingersoll, Ross theory of the term structure of interest rates。Journal of Finance,41,617-632。  new window
10.Fama, E. F.(1976)。Forward rates as predictors of future spot rates。Journal of Financial Economics,3,361-367。  new window
11.Fama, E. F.(1975)。Short-term interest rates as predictors of inflation。American Economic Review,65,269-282。  new window
12.Engle, R. F.、Lilien, D. M.、Robins, R. P.(1987)。Estimating time varying risk premia in the term structure: the ARCH-M model。Econometrica,55,391-407。  new window
13.Dothan, L. Uri(1978)。On the term structure of interest rates。Journal of Financial Economics,6(1),59-69。  new window
14.Donaldson, J. B.、Johnson, T.、Mehra, R.(1990)。On the term structure of interest rates。Journal of Economic Dynamics and Control,14,571-596。  new window
15.Hardourelis, G. A.(1988)。The predictive power of the term structure during recent monetary regimes。Journal of Finance,43,339-356。  new window
16.Hansen, L. P.、Singleton, K. J.(1982)。Generalized instrumenral variables estimation of nonlinear rational expectations models。Econometrica,50,1269-1286。  new window
17.Froot, K.(1989)。Now hope for the expectations hypothesis of the term structure of interest rates。Journal of Finance,44,283-305。  new window
18.Fama, E. F.(1984)。Term premiums in bond returns。Journal of Financial Economics,13,529-546。  new window
19.Lee, B. S.(1989)。A nonlinear expectations model of the term structure of interest rates with time-varying risk premia。Journal of Money, Credit, and Banking,21,348-367。  new window
20.Langetieg, T. C.(1980)。A multivariate model of the term structure。Journal of Finance,35(1),71-97。  new window
21.Klemkosky, R. C.、Pilotte, E. A.(1992)。Time-varying term premia on U. S. treasury bills and bonds。Journal of Monetary Economics,30,87-106。  new window
22.Lucas, R. E. Jr.(1982)。Interest rates and currency prices in a two-country world。Journal of Monetary Economics,10,335-359。  new window
23.Longstaff, F. A.、Schwartz, E. S.(1992)。Interest rate volatility and the term structure: a two-factor general equilibrium model。Journal of Finance,47,1259-1282。  new window
24.Longstaff, F. A.(1990)。Time varying term premia and traditional hypotheses about the term structure。Journal of Finance,45,1307-1314。  new window
25.Longstaff, F. A.(1989)。A nonlinear general equilibrium model of the term structure of interest rates。Journal of Financial Economics,23,195-224。  new window
26.Long, J. B.(1974)。Stock price, inflation, and the term structure of interest rates。Journal of Financial Economics,1,131-170。  new window
27.McCulloch, J. H.(1975)。An estimate of the liquidity premium。Journal of Political Economy,83,95-119。  new window
28.Mankiw, N. G.、Summer, L. H.(1984)。Do long-term interest rates overreact to shortterm interest rates。Brooking Papers on Economic Activity,1,223-242。  new window
29.Mankiw, N. G.、Miron, J. A.(1986)。The changing behavior of the term structure of interest rates。The Quarterly Journal of Economics,11,211-228。  new window
30.Mankiw, N. G.(1986)。The term structure of interest rates revisited。Brooking papers on Economic Activity,1,61-96。  new window
31.MacDonald, R.、Speight, A.(1988)。The term structure of interest rates in the UK。Bulletin of Economic Research,40,287-299。  new window
32.Modigliani, F.、Shiller, R. J.(1973)。Inflation, rational expectations and the term structure of interest rates。Economica,40,12-43。  new window
33.McFadyen, J.、Pickerill, K.、Devancy, M.(1991)。The expectations hypothesis of the term structure: more evidence。Journal of Economics and Business,43,79-85。  new window
34.McCulloch, J. H.(1987)。The monotonicity of the premium: a closer look。Journal of Financial Economics,18,185-192。  new window
35.Pesando, J. E.(1983)。On expectations, term premiums and the volatility of long-term interest rates。Journal of Monetary Economics,12,467-474。  new window
36.Park, S. Y.、Reinganum, M. R.(1986)。The puzzling price behavior of treasury bills that mature at the turn of calendar months。Journal of Financial Economics,16,267-283。  new window
37.Oldfield, G. S.、Rogalski, R. J.(1987)。The stochastic properties of term structure movements。Journal of Monetary Economics,19(2),229-254。  new window
38.Modigliani, F.、Sutch, R.(1966)。Innovations in interest rate policy。American Economic Review,56,178-197。  new window
39.Roll, R.(1971)。Investment diversification and bond maturity。Journal of Finance,26(5),1-66。  new window
40.Ritchken, P.、Boenawan, K.(1990)。On arbitrage-free pricing of interest rate contingent claims。Journal of Finance,45,259-264。  new window
41.Richardson, M.、Richardson, P.、Smith, T.(1992)。The monotonicity of the term premium: another look。Journal of Financial Economics,31,97-105。  new window
42.Richard, S. F.(1978)。An arbitrage model of the term structure of interest rates。Journal of Financial Economics,6,33-57。  new window
43.Shiller, R. J.(1981)。Alternative tests of rational expectations models。Journal of Econometrics,16,71-87。  new window
44.Shiller, R. J.(1979)。The volatility of long-term interest rates and expectations models of the term structure。Journal of Political Economy,87,1190-1219。  new window
45.Sargent, T. J.(1979)。A note on maximum likelihood estimation of the rational expectations model。Journal of Monetary Economics,5,133-143。  new window
46.Sargent, T. J.(1972)。Rational expectations and the term structure of interest rates。Journal of Money, Credit, and Banking,4(1),74-97。  new window
47.Van Horne, J.(1965)。Interest-rate risk and the term structures of interest rates。Journal of Political Economy,73,344-351。  new window
48.Sundaresan, M.(1984)。Consumption and equilibrium interest raises in stochastic production economies。Journal of Finance,39,77-92。  new window
49.Simon, D. P.(1991)。Segmentation in the treasury bill market: evidence form cash management bills。Journal of Financial and Quantitative analysis,26,97-108。  new window
50.White, H.(1980)。A heteroskedasticity-consistent covariance matrix and a direct test for heteroskedasticity。Econometrica,48,721-746。  new window
51.Hansen, Lars Peter(1982)。Large Sample Properties of Generalized Method of Moments Estimators。Econometrica: Journal of the Econometric Society,50(4),1029-1054。  new window
52.Heath, David C.、Jarrow, Robert A.、Morton, Andrew J.(1992)。Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation。Econometrica,60(1),77-105。  new window
53.Ho, Thomas S. Y.、Lee, Sang Bin(1986)。Term Structure Movements and Pricing Interest Rate Contingent Claims。The Journal of Finance,41(5),1011-1029。  new window
54.Cox, John C.、Ingersoll, Jonathan E. Jr.、Ross, Stephen A.(1985)。A Theory of the Term Structure of Interest Rates。Econometrica,53(2),385-407。  new window
55.Vasicek, Oldrich Alfonso(1977)。An Equilibrium Characterization of the Term Structure。Journal of Financial Economics,5(2),177-188。  new window
56.Merton, Robert C.(1973)。An Intertemporal Capital Asset Pricing Model。Econometrica,41(5),867-887。  new window
57.Newey, Whitney K.、West, Kenneth D.(1987)。A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix。Econometrica,55(3),703-708。  new window
學位論文
1.伏和靖(1989)。台灣地區貨幣市場利率期限結構之實證研究(碩士論文)。淡江大學。  延伸查詢new window
圖書
1.Meiselman, D.(1962)。The Term Structure of Interest Rates。Englewood Cliffs, N. J.:Prentice-Hall。  new window
2.Roll, R.(1970)。The Behavior of Interest Rates: An Application of the Efficient Market Model to U. S. Treasury Bills。New York:Basic Books。  new window
3.Van Horne, J.(1990)。Financial Market Rates and Flows。Prentice-Hall International。  new window
 
 
 
 
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