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題名:臺灣美元遠期即期匯率關係之探討--共整合分析之應用
書刊名:中國統計學報
作者:林金龍 引用關係吳中書劉興嘉
出版日期:1993
卷期:31:2
頁次:頁271-287
主題關鍵詞:單根市場效率性CointegrationUnit RootMarket Efficiency Hypothesis
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(6) 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:6
  • 共同引用共同引用:12
  • 點閱點閱:27
期刊論文
1.Hansen, L. P.、Hodrick, R. J.(1980)。Forward Exchange Rates as Optimal Predictors of Future Spot Rate: An Econometric Analysis。Journal of Political Economy,88,829-853。  new window
2.Hsieh, D. A.(1984)。Tests of Rational Expectational and No Premium in Forward Exchange Markets。Journal of International Economics,17,173-184。  new window
3.Barnhart, S. W.、Szakmary, A. C.(1991)。Testing the Unbiased Forward Rate Hypothesis: Evidence on Unit Roots, Co-Integration, and Stochastic Coefficients。Journal of Financial and Quantitative Analysis,26(2),245-267。  new window
4.Frankel, Jeffrey A.(1980)。Tests of rational expectations in the forward exchange market。Southern Economic Journal,46(4),1083-1101。  new window
5.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
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.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
8.Hakkio, Craig S.、Rush, Mark(1989)。Market Efficiency and Cointegration: An Application to the Sterling and Deutschemark Exchange Markets。Journal of International Money and Finance,8,75-88。  new window
9.MacDonald, Ronald、Taylor, Mark(1989)。Foreign Exchange Market Efficiency and Cointegration。Economics Letters,29,63-68。  new window
10.Canarella, G.、Pollard, S. K.(1988)。Efficiency in Foreign Exchange Markets: A Vector Autoregressive Approach。Journal of International Money and Finance,7,331-346。  new window
11.Cornell, B.(1977)。Spot rates, forward rates and exchange market efficiency。Journal of Financial Economics,5,55-65。  new window
12.Dickey, D. A.、Fuller, W. A.(1979)。Distribution of Estimate for Autoregressive Time with a Unit Root。Journal of the American Statistics Association,24(366),427-431。  new window
13.Frankel, J. A.(1977)。The Forward Exchange Rates, Expectations and The Demand for Money: The German Hyperinflation。American Economic Review,67,653-670。  new window
14.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
15.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
16.Hakkio, C. S.(1981)。Expectations and The Forward Exchange Rate。International Economic Review,22(3),663-678。  new window
17.Lai, T. L.、Wei, C. Z.(1982)。Least Squares Estimates in Stochastic Regression Models with Applications to Identification and Control of Dynamic Systems。The Annals of Statistics,10,154-166。  new window
18.Mann, H. B.、Wald, A.(1943)。On the Statistical Treatment of Linear Stochastic Difference Equations。Econometrica,11,173-220。  new window
19.Sanderson, P.(1984)。Rational Expectations and Forward Exchange Market Efficiency。Applied Economics,16,99-109。  new window
20.Siegel, J. J.(1972)。Risk, Interest Rates and Forward Exchange。Quarterly Journal of Economics,86,303-309。  new window
21.White, J. S.(1958)。The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case。Annals of Mathematical Statistics,27,1188-1197。  new window
22.Granger, C. W. J.(1981)。Some Properties of Time Series Data and Their Use in Econometric Model Specification。Journal of Econometrics,16(1),121-130。  new window
23.Dickey, David A.、Fuller, Wayne A.(1981)。Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root。Econometrica: journal of the Econometric Society,49(4),1057-1072。  new window
24.Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica,55(2),251-276。  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.Chan, N. H.、Wei, C.(1988)。Limiting distributions of least squares estimates of unstable autoregressive processes。The Annals of Statistics,16,367-401。  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
2.陳韻珊(1989)。外匯市場效率性之研究--台灣實證分析(碩士論文)。中國文化大學。  延伸查詢new window
圖書
1.Fuller, W.(1976)。Introduction to Statistical Time Series。New York:John Wiley。  new window
2.Fama, E. F.(1976)。Foundations of Finance。New York:Basic Books。  new window
圖書論文
1.Levich, R. M.(1979)。On The Efficiency of Markets for Foreign Exchange。International Economic Policy: Theory and Evidence。John Hopkins University Press。  new window
2.Mussa, M.(1978)。The Exchange Rate, the Balance of Payments and Monetary and Fiscal Policy Under a Regime of Controlled Floating。The Economics of Exchange Rates。Reading, Mass:Addison-Wesley。  new window
 
 
 
 
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