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題名:臺灣地區利率期限結構模型之實證探索--狀態空間模型估計法
書刊名:證券市場發展季刊
作者:葉仕國 引用關係林丙輝 引用關係
作者(外文):Yeh, Shih-kuoLin, Bing-huei
出版日期:1998
卷期:10:4=40
頁次:頁55-88
主題關鍵詞:利率期限結構狀態空間模型混合資料隨機過程Term structure of interest rateState space modelPooling dataStochastic process
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:39
期刊論文
1.Doan, Thomas、Litterman, Robert B.、Sims, Christopher A.(1984)。Forecasting and Conditional Projection Using Realistic Prior Distributions。Econometric Reviews,3(1),1-100。  new window
2.Cox, J. C.、Ingersoll, J. E.、Ross, S. A.(1985)。A Theory of the Term Structure of Interest Rate。Econometrica,53(2),385-408。  new window
3.Berndt, Ernst R.、Hall, Bronwyn H.、Hall, Robert E.、Hausman, Jerry A.(1974)。Estimation and Inference in Nonlinear Structural Models。Annals of Economic and Social Measurement,3(4),653-665。  new window
4.Vasicek, Oldrich Alfonso(1977)。An Equilibrium Characterization of the Term Structure。Journal of Financial Economics,5(2),177-188。  new window
5.Griliches, Zvi、Hausman, Jerry A.(1986)。Errors in Variables in Panel Data。Journal of Econometrics,31(1),93-118。  new window
6.葉仕國(1997)。以最大概似估計法進行'Extended Vasicek'利率期限結構模型之實證。管理學報,14(4),533-557。new window  延伸查詢new window
7.Chen, R. R.、Scott, L.(1993)。Maximum Likelihood Estimation of a Multi-Factor Equilibrium Model of the Term Structure of Interest Rates。Journal of Fixed Income,3(3),14-31。  new window
8.Chen, R.、Yang, T.(1995)。The Relevance of Interest Rate Process in Pricing Mortgage-Backed Securities。Journal of Housing Research,6(2)。  new window
9.Cox, J.、Ingersoll, J. E.、Ross, S. A.(1981)。A Re-examination of Traditional Hypothesis about the Term Structure of Interest Rates。The Journal of Finance,36,769-799。  new window
10.Ho, Thomas S. Y.(1995)。Evolution of Interest Rate Models: A Comparison。The Journal of Derivatives,2(4),9-20。  new window
11.蕭政(1974)。Statistical Inference for a Model with both Random Cross Sectional and Time Effects。International Economic Review,15,12-30。  new window
12.蕭政(1975)。Some Estimation Methods for a Random Coefficient Model。Econometrica,43(2),305-325。  new window
13.Hull, J.、White, A.(1990)。Valuing Derivative Securities Using the Explicit Finite Difference Method。Journal of Financial and Quantitative Analysis,25(1),87-100。  new window
14.Pearson, N.、Sun, T.(1994)。A Test of the Cox, Ingersoll and Ross Model of the Term Structure of the Interest Rates Using the Maximum Likelihood Method。The Journal of Finance,49,727-745。  new window
研究報告
1.Chen, R.、Scott, L.(1994)。Multi-Factor Cox-Ingersoll-Ross Models of the Term Structure of Interest Rates: Estimates and Tests Using a Kalman Filter。0。  new window
2.Chen, R.、Yang, T.(1995)。An Integrated Model for the Term and Volatility Structures of Interest Rates。Fannie Mae。  new window
3.Lund, J.(1994)。Econometric Analysis of Continuous-time Arbitrage-Free Models of the Term Structure of Interest Rates。0。  new window
4.Zheng, C. C.(1993)。Testing Term Structure Models with Unspecified Dynamic Factors。0。  new window
學位論文
1.周建新(1997)。公債期貨交割,評價與避險之研究,0。new window  延伸查詢new window
圖書
1.Arnold, Ludwig(1974)。Stochastic Differential Equations: Theory and Applications。Stochastic Differential Equations: Theory and Applications。沒有紀錄:John Wiley and Sons。  new window
2.Press, William H.、Flannery, Brian P.、Teukolsky, Saul A.、Vetterling, William T.(1988)。Numerical Recipes in C: The Art of Scientific Computing。New York。  new window
3.Hull, J. C.(1993)。Options, Futures, and Other Derivative Securities。London:Prentice-Hall。  new window
4.Chen, R.(1996)。Understand and Manage Interest Rate Risk。Understand and Manage Interest Rate Risk。沒有紀錄。  new window
5.Quandt, R. E.(1983)。Computational Problems and Methods。Handbook of Econometrics, Vol. 1。Amsterdam, Netherlands。  new window
 
 
 
 
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