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題名:臺灣遠期美元外匯市場風險溢酬之研究
書刊名:中國財務學刊
作者:廖四郎 引用關係徐守德 引用關係王銘杰
作者(外文):Liao, Szu-langShyu, DavidWang, Ming-chieh
出版日期:1997
卷期:5:2
頁次:頁27-57
主題關鍵詞:市場效率性假說風險貼水單因子隱含變數模型長期共整Efficiency market hypothesisEMHRisk premiumSingle latent variable modelLong-term cointegration
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(2) 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:2
  • 共同引用共同引用:19
  • 點閱點閱:30
期刊論文
1.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
2.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
3.Naka, A.、Whitney, G.(1995)。The Unbiased Forward Rate Hypothesis Re-examined。Journal of International Money and Finance,14(6),857-867。  new window
4.Bilson, J. F. O.(1981)。The Speculative Efficiency Hypothesis。Journal of Business,54,435-451。  new window
5.沈中華(19950700)。檢定外匯市場效率性--三向量自我迴歸模型。中國財務學刊,3(1),21-47。new window  延伸查詢new window
6.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
7.Bekaert, Greet、Hodrick, Robert(1992)。Characterizing predictable components in excess returns on equity and foreign exchanges markets。Journal of Finance,47,467-509。  new window
8.Engle, Robert F.、Lilien, David M.、Robins, Russell P.(1987)。Estimating time varying risk premia in the term structure: The ARCH-M model。Econometrica,55(2),391-407。  new window
9.Shen, Chung-Hua(1994)。Testing efficiency of the Taiwan-U.S. forward exchange market-A markov switching model。Asian E.J.,205-215。  new window
10.Ligeralde(1997)。Covariance matrix estimators and tests of market efficiency。Journal of International Money and Finance,16,323-343。  new window
11.Kaminsky, Graciela、Peruga, Rodrigo(1990)。Can a time-varying risk premium explain excess returns in the forward market for foreign exchange?。Journal of International Economics,28(1/2),47-70。  new window
12.Wu, Y.、Zharg, H.(1997)。Forward premiums as unbiased predictors of future currency depreciation: A non-parametric analysis。Journal of International Money and Finance,16,609-623。  new window
13.Robichek, A. A.、Eaker, M. R.(1978)。Foreign exchange hedging and the capital asset pricing model。Journal of Finance,33,1011-1018。  new window
14.Phillips, P. C. B.、Mcfarland, J. W.(1997)。Forward exchange market unbiasedness: The case of the Austrian dollar since 1984。Journal of International Money and Finance,16,885-907。  new window
15.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
16.Campbell, John Y.、Hamao, Yasushi(1992)。Predictable Stock Returns in the United States and Japan: A Study of Long-Term Capital Market Integration。Journal of Finance,47(1),43-69。  new window
17.Fama, Eugene F.、French, Kenneth R.(1988)。Dividend Yields and Expected Stock Returns。Journal of Financial Economics,22(1),3-25。  new window
18.何中達、沈中華(19960100)。我國遠期外匯市場重新開放後之效率性檢定。中國財務學刊,3(2),63-85。new window  延伸查詢new window
會議論文
1.黃柏農、蘇之敏(1992)。外匯市場效率性之檢定--多種到期日之分析。中國經濟學會年會,275-300。  延伸查詢new window
學位論文
1.王銘杰(1996)。臺灣遠期美元外匯市場效率性之研究(碩士論文)。國立中山大學。  延伸查詢new window
圖書
1.李麗(1992)。我國外匯市場與匯率制度。財團法人金融人員訓練中心。  延伸查詢new window
2.Baillie, Richard T.、Mcmahon, Patrick C.(1989)。The Foreign Exchange Market: Theory and Econometric Evidence。Cambridge:Cambridge University Press。  new window
3.Hodrick, Robert J.(1987)。The Empirical Evidence on the Efficiency of Forward and Futures Markets。Chur:Harwood Academic Publisher。  new window
圖書論文
1.Hansen, Lars Peter、Hodrick, Robert J.(1983)。Risk averse speculation in the forward foreign exchange market: An econometric analysis of linear models。Exchange Rates and International Macroeconomics。Chicago, IL:Chicago University Press。  new window
 
 
 
 
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