:::

詳目顯示

回上一頁
題名:檢定外匯市場效率性--三向量自我迴歸模型
書刊名:中國財務學刊
作者:沈中華 引用關係
出版日期:1995
卷期:3:1
頁次:頁21-47
主題關鍵詞:外匯市場效率性
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(3) 博士論文(1) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:3
  • 共同引用共同引用:11
  • 點閱點閱:40
期刊論文
1.Campbell, John Y.、Shiller, Robert J.(1987)。Cointegration and Tests of Present Value Models。Journal of Political Economy,95(5),1062-1088。  new window
2.Jarque, Carlos M.、Bera, Anil K.(1980)。Efficient Tests for Normality, Homoscedasticity and Serial Independence of Regression Residuals。Economics Letters,6(3),255-259。  new window
3.Hansen, Lars Peter、Hodrick, Robert J.(1980)。Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis。Journal of Political Economy,88(5),829-853。  new window
4.Campbell, J. Y.(1987)。Does Saving Anticipate Declining Labor Income? An Alternative Test of the Permanent Income Hypothesis。Econometrica,55(6),1249-1273。  new window
5.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
6.Bilson, J. F. O.(1981)。The Speculative Efficiency Hypothesis。Journal of Business,54,435-451。  new window
7.Shiller, R. J.、Campbell, J. Y.、Schoenholtz. K. L.(1983)。Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates。Brookings papers on Economic Activity,1,173-223。  new window
8.Campbell, J. Y.、Deaton, A.(1989)。Why is consumption so smooth?。Review of Economics Studies,56(3),357-374。  new window
9.Huang, C. H.、Lin, K. S.(1991)。An Empirical Study on Taiwan's Tax Policy: 1966-1988。Asian Economic Journal,5,323-338。  new window
10.Levy, E.、Nobay, A. R.(1986)。The Speculative Efficiency Hypothesis: A Bivariate Analysis。Economic Journal,96,109-121。  new window
11.Stock, J. H.(1987)。Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors。Econometrica,55(5),1033-1056。  new window
12.沈中華(1993)。臺灣遠期美元外匯市場效率性之再檢定--兩狀態Markov模型的應用。經濟論文,21(1),87-115。new window  延伸查詢new window
13.Baillie, R. T.、McMahon, P. C.(1985)。Some Joint Tests of Market Efficiency: The Case of the Forward Premium。Journal of Macroeconomics,7(2),137-150。  new window
14.Campbell, J. Y.、Shiller, R. J.(1988)。Interpreting Cointegration Models。Journal of Economic Dynamics and Control,12,505-522。  new window
15.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
16.Chiang, T. C.(1988)。The Forward Rate as a Predictor of the Future Spot Rate--A Stochastic Coefficient Approach。Journal of Money, Banking and Finance,20,212-231。  new window
17.Copeland, L. S.(1991)。Cointegration Tests with Daily Exchange Rate Data。Oxford Bulletin of Economics and Statistics,53(2),185-197。  new window
18.Dickey, D. A.、Pantula, S. G.(1987)。Determining the Order of Differencing in Autoregressive Provesses。Journal of Business, Economics and Statistics,5(4),455-461。  new window
19.Frankel, J. A.、Froot, K. A.(1987)。Using Survey Data to Test Standard Propositions on Exchange Rate Expectations。American Economic Review,133-153。  new window
20.Hakkio, C. S.(1981)。Expectations and the Forward Exchange Rate。International Economic Review,22,663-677。  new window
21.Hakkio, C. S.(1988)。Use of (Time Domain) Vector Autoregressions to Test Uncovered Interest Parity。Review of Economic Statistics,296-305。  new window
22.Lai, K. S.、Lai, M.(1991)。A Cointegration Test for Market Efficiency。The Journal of Futures Markets,1(4),567-575。  new window
23.Levich, R. M.(1979)。Are Forward Exchange Rates Unbiased Predictiors of Future Spot Rates?。Columbia Journal of World Business,68,195-198。  new window
24.Kaminsky, G.(1993)。The Pess Problem and the Behavior of the Exchange Rate The Dollar-Pound Exchange Rate 1976-1989。AER。  new window
25.MacDonald, R.、Speight, A. E. H.(1988)。The Term Structure of Interest Rates in the UK。Bulletin of Economic Research,40,287-991。  new window
26.MacDonald, R.、Speight, A. E. H.(1991)。The Term Structure of Interest Rates Under Rational Expectations: Some International Evidence。Applied Financial Economics,1,211-221。  new window
27.MacDonald, R.、Taylor, M. P.(1991)。Risk, Efficiency and Speculation in the 1920s Foreign Exchange Market: An Overlapping Data Analysis。Weltwirtschaftliches Archiv.,127,500-523。  new window
28.Nelson, M.(1988)。Time-Varying Betas and Risk Premia in the Pricing of Forward Foreign Exchange Contracts。Journal of Financial Economics,22(2),354。  new window
29.Shen, C. H.(1994)。Estimating Efficiency of Taiwan-US Exchange Rate Markets-A Markov Switching Model。Asian Economic Journal,8,205- 215。  new window
30.Taylor, M. P.(1989)。Vector Autoregressive Tests of Uncovered Interest Rate Parity with Allowance for Conditional heteroscedasticity。Scottish Journal of Political Economics,36,238-253。  new window
31.Taylor, M. P.(1990)。Ex Ante Pruchasing Power Parity: Some Evidence Based on Vector Autoregressive in the Time Domain。Empirical Economics,15,77-91。  new window
32.Taylor, M. P.(1992)。Modelling the Yield Curve。Economic Journal,102,524-537。  new window
33.Johansen, Søren(1988)。Statistical Analysis of Cointegration Vectors。Journal of Economic Dynamics and Control,12(2/3),231-254。  new window
34.Johansen, Søren、Juselius, Katarina(1990)。Maximum Likelihood Estimation and Inference on Cointegration: with Applications to the Demand for Money。Oxford Bulletin of Economics and Statistics,52(2),169-210。  new window
35.Sims, Christopher A.(1980)。Macroeconomics and Reality。Econometrica: Journal of the Econometric Society,48(1),1-48。  new window
36.Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica,55(2),251-276。  new window
37.Kugler, P.(1990)。The Term Structure of Euro Interest Rates and Rational Expectations。Journal of International Money and Finance,9,234-244。  new window
38.Ghosh, A. R.(1992)。Is It Signalling? Exchange Intervention and the Dollar-Deutschemark Rate。Journal of International Economics,32,201-220。  new window
會議論文
1.黃柏農、蘇文敏(1993)。外匯市場效率性之檢定--多種匯率間之分析比較。中國經濟學會年會。中國經濟學會。  延伸查詢new window
2.Shen, C. H.(1993)。The Term Structure of Taiwan Money Market Rates and Rational Expectations。First Chinese Finance Association,277-308。  new window
研究報告
1.Campbell, J. Y.、Clarida, R. H.(1978)。Household Saving and Permanent Income in Canada and the United Kingdom。  new window
2.Pindyck, R. S.(1992)。The Present Value Model of Rational Commodity Pricing。  new window
圖書論文
1.何中達、沈中華(1993)。我國遠期外匯市場重新開放之效率性檢定。中國財務學論集。  延伸查詢new window
2.MacDonald, R.、Taylor, M. P.(1989)。Economic Analysis of Foreign Exchange Markets: An Expository Survey。Exchange Rates and Open Economy Macroeconomics。Basil Blackwell。  new window
 
 
 
 
第一頁 上一頁 下一頁 最後一頁 top
:::
無相關著作
 
QR Code
QRCODE