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題名:短期利率期貨市場間互動性之探討--根據三個月期歐洲美元與美國國庫券期貨價格
書刊名:證券市場發展季刊
作者:李宏志 引用關係游淑華
出版日期:1995
卷期:7:3=27
頁次:頁17-39
主題關鍵詞:歐洲美元美國國庫券共整合股市崩盤EurodollarU.S. Treasury billsCointegrationStock crash
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:9
期刊論文
1.Levin, Jay H.(1974)。The Eurodollar Market and the International Transmission of Interest Rates。Canadian Journal of Economics,7,205-224。  new window
2.Swanson, P. E.(1987)。Capital Market Integration over the past Decade: The Case of the U.S. Dollar。Journal of International Money and Finance,6,15-25。  new window
3.Lin, Antsong、Swansson, Peggy E. Fall(1993)。Measuring Global Money Market Interrelationships: An Investigation of Five Major World Currencies。Journal of Banking and Finance,17,609-628。  new window
4.Giddy, I. H.、Dufey, G.、Min, S.(1979)。Interest Rates in the U.S. and Eurodollar Markets。Weltwirtschaftliches Archief,115,51-67。  new window
5.Hendershott, P. H.(1967)。The structure of international interest rates: The US Treasury bill rate and the Eurodollar deposit rate。Journal of Finance,22,455-465。  new window
6.Engle, Robert F.、Yoo, Byung Sam(1987)。Forecasting and Testing in Cointegrated Systems。Journal of Econometrics,35(1),143-159。  new window
7.Kwack, S. Y.(1971)。The Structure of International Interest Rates: An Extension of Hendershot's Test。Journal of Finance。  new window
8.Madura, J.、Mcdaniel, W.。Impact of the 1987 Crash on Gains from International Diversification。Journal of International Finance。  new window
9.Kaen, F. R.、Hachey, G. A.(1983)。Eurocurrency and National Money Market Interest Rates: An Empirical Investigation of Causality。Journal of Money, Credit and Banking,327-338。  new window
10.Swanson, P. E.(1988)。Interrelationship Among Domestic and Eurocurrency Deposit Yield: A Focus On The U.S. Dollar。The Financial Review,23,81-94。  new window
11.Swanson, P. E.(1988)。The International Transmission of Interest Rates: A Note On Causal Relationship Between Short-term External and Domestic U.S. Dollar Returns。Journal of Banking and Finance,12,563-573。  new window
12.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
13.Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica,55(2),251-276。  new window
 
 
 
 
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