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題名:The Revision of Risk Premium in the Presence of Conditional Variances: The Case of the Foreign Exchange Market of Taiwan
書刊名:會計評論
作者:簡金成 引用關係
出版日期:1994
卷期:28
頁次:頁129-165
主題關鍵詞:外匯市場投資者風險
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(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:17
期刊論文
1.Sweeney, R.(1986)。Beating the Foreign Exchange Market。The Journal of Finance,41(1),163-182。  new window
2.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
3.Domowitz, I.、Hakkio, C. S.(1985)。Conditional Variance and the Risk Premium in the Foreign Exchange Market。Journal of International Economics,19,47-66。  new window
4.Bilson, J. F. O.(1981)。The Speculative Efficiency Hypothesis。Journal of Business,54,435-451。  new window
5.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
6.Cornell, B.(1977)。Spot rates, forward rates and exchange market efficiency。Journal of Financial Economics,5,55-65。  new window
7.Hansen, L. P.、Hodrick, R. J.(1980)。Foreign exchange rates as optimal predictors of future spot exchange rates。Journal of Political Economy,88,829-853。  new window
8.Friedman, D.、Vandersteel, S.(1982)。Short-run fluctuations in for-eign exchange rates: Evidence from the data 1973-1979。Journal of International Economics,13,171-186。  new window
9.Hodrick, R. J.、Srivastava, S.(1986)。The covariance of risk premiums and expected future spot exchange rates。Journal of International Money and Finance,1986(Mar.),5-21。  new window
10.Hodrick, R. J.、Srivastava, S.(1984)。An investigation of risk and return in foreign exchange。Journal of International Money and Finance,3,5-30。  new window
11.Levich, R. M.(1979)。Are forward exchange rates unbiased predictors of future spot rates?。The Columbia Journal of World Business,14,49-61。  new window
12.Mussa, M.(1979)。Empirical regularities in the behavior of exchange rates and theories of the foreign exchange market。Carnegie-Rochester Conference Series on Public Policy,11,9-57。  new window
13.Kang, H. H.(1993)。The evolution of Taiwanese foreign exchange market。Community Financial Journal,1993(Sep.),53-64。  new window
14.Bollerslev, Tim、Engle, Robert F.、Wooldridge, Jeffrey M.(1988)。A Capital Asset Pricing Model with Time-Varying Covariances。Journal of Political Economy,96(1),116-131。  new window
15.Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica,55(2),251-276。  new window
16.Fama, Eugene F.(1984)。Forward and Spot Exchange Rates。Journal of Monetary Economics,14(3),319-338。  new window
17.Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1008。  new window
會議論文
1.Ho, C. D.、Shen, C. H.(1993)。Testing the efficiency of Taiwanese foreign exchange market after its reopening。The 1993 Annual Meeting of the Chinese Financial Association。  new window
圖書
1.Harvey, A. C.(1981)。Time Series Models。New York:John Wiley & Sons。  new window
2.Kohlhagen, S. W.(1978)。The behavior of foreign exchange markets: A critical survey of the empirical literature。New York:New York University Press。  new window
3.Tryon, R.(1979)。Testing for rational expectations in foreign exchange markets。Board of Governors of the Federal Reserve System。  new window
圖書論文
1.Dooley, M.、Shafer, J.(1983)。Analysis of short-run exchange rate behavior: March 1973-November 1981。Exchange Rate and Trade Instability。Cambridge, Mass:Ballinger。  new window
2.Levich, Richard M.(1989)。Forward rates as the optimal future spot rate forecast in exchange rate forecasting。Exchange rate forecasting。Cambridge:Woodhead-Faulkner Limited。  new window
 
 
 
 
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