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題名:以線性規劃法估計臺灣公債市場利率期限結構之實證研究
書刊名:管理科學研究
作者:周建新 引用關係于鴻福 引用關係張千雲 引用關係
作者(外文):Chou, Jian-hsinYu, Hong-fwuChang, Chien-yun
出版日期:2003
卷期:1:1
頁次:頁31-47
主題關鍵詞:線性規劃Parsimonious模型利率期限結構Linear programming modelParsimonious modelTerm structure of interest rate
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(7) 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:1
  • 共同引用共同引用:21
  • 點閱點閱:19
期刊論文
1.沈中華(19981000)。影響臺灣貨幣市場利率的三因子。貨幣市場,12,4-7。  延伸查詢new window
2.Steeley, J. M.(1991)。Estimating the Gilt-Edged Term Structure: Basis Splines and Confidence Intervals。Journal of Business Finance and Accounting,18(4),513-529。  new window
3.McCulloch, J. H.(1971)。Measure the Term Structure of Interest Rates。Journal of Business,44(1),19-31。  new window
4.Schaefer, S. M.(1981)。Measuring a Tax-Specific Term Structure of Interest Rates in the Market of British Government Securities。The Economic Journal,91(362),415-438。  new window
5.Nelson, C. R.、Siegel, A. F.(1987)。Parsimonious Modeling of Yield Curves。The Journal of Business,60(4),473-489。  new window
6.李賢源、謝承熹(1998)。以分段三次方指數函數及非線性最適化技巧配適--臺灣公債市場之利率期限結構。管理與系統,5(2),277-290。new window  延伸查詢new window
7.McCulloch, J. Huston(1975)。The Tax-Adjusted Yield Curve。Journal of Finance,30(3),811-830。  new window
8.Ho, T. S.、Lee, S. B.(1986)。Term Structure Movements and Pricing Interest Rate Contingent Claim。Journal of Finance,41,1011-1028。  new window
9.周建新、于鴻福、張千雲(20030800)。利率期限結構估計模型之實證研究。管理學報,20(4),775-804。new window  延伸查詢new window
10.Adams, K. J.、Van Deventer, D. R.(1994)。Fitting Yield Curves and Forward Rate Curves with Maximum Smoothness。The Journal of Fixed Income,4(1),52-62。  new window
11.Allen, D. E.、Thomas, L. C.、Zheng, H.(2000)。Stripping Coupons with Linear Programming。Journal of Fixed Income,10(2),80-87。  new window
12.Bliss, R. R.(1997)。Testing Term Structure Estimation Methods。Advances in Futures and Options Research,9,197-231。  new window
13.Chambers, D. R.、Carleton, W. T.、Waldman, D. R.(1984)。A New Approach to Estimation of the Term Structure of Interest Rate。Journal of Financial and Quantitative Analysis,19(3),233-252。  new window
14.Eom, Y. H.、Subrahmanyam, M. G.、Uno, J.(1998)。Coupon Effects and the Pricing of Japanese Government Bonds: An Empirical Analysis。Journal of Fixed Income,8,69-86。  new window
15.Lin, B. H.(1999)。Fitting the Term Structure of Interest Rates for Taiwanese Government Bonds。Journal of Multinational Financial Management,9(1),331-352。  new window
16.Shea, G. S.(1984)。Pitfalls in Smoothing Interest Rate Term Structure Data: Equilibrium Models and Spline Approximation。Journal of Financial and Quantitative Analysis,19(3),253-269。  new window
17.Shea, G. S.(1985)。Interest Rate Term Structure Estimation with Exponential Splines: A Note。The Journal of Finance,40(1),319-325。  new window
18.Subramanian, K. V.(2001)。Term structure estimation in illiquid markets。Journal of Fixed Income,11(1),77-86。  new window
19.蔣松原(2000)。建構台灣市場殖利率曲線。貨幣觀測與信用評等,22,99-119。  延伸查詢new window
20.Frishling, V.、Yamamura, J.(1996)。Fitting A Smooth Forward Rate Curve to Coupon Instruments。The Journal of Fixed Income,6(2),97-103。  new window
21.Vasicek, Oldrich A.、Fong, H. Gifford(1982)。Term Structure Modeling Using Exponential Splines。Journal of Finance,37(2),339-348。  new window
22.Heath, David C.、Jarrow, Robert A.、Morton, Andrew J.(1992)。Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation。Econometrica,60(1),77-105。  new window
23.Vasicek, Oldrich Alfonso(1977)。An Equilibrium Characterization of the Term Structure。Journal of Financial Economics,5(2),177-188。  new window
研究報告
1.Mastronikola, K.(199112)。Yield Curves for Gilt-Edged Stocks: A New Model。  new window
2.Fisher, M.、Nychka, D.、Zervos, D.(199501)。Fitting the Term Structure of Interest Rates with Smoothing Splines。  new window
3.Svensson, L. E. O.(1994)。Estimating and Interpreting Forward Interest Rates: Sweden 1992-1994。International Monetary Fund。  new window
4.Waggoner, D. F.(1997)。Spline Methods for Extracting Interest Rate Curves from Coupon Bond Prices。Federal Reserve Bank of Atlanta。  new window
學位論文
1.賴曉璐(1997)。政府公債殖利率曲線形狀與免疫策略的選擇(碩士論文)。國立台灣大學。  延伸查詢new window
2.馮士耀(1999)。配適最平滑之遠期利率曲線(碩士論文)。國立臺灣大學。  延伸查詢new window
圖書
1.Fabozzi, F. J.(1998)。Valuation of Fixed Income Securities and Derivatives。New Hope, Pennsylvania:Frank J. Fabozzi Associates。  new window
2.Durand, D.(1942)。Basic Yields of Corporate Bonds。New York National Bureau of Economic Research。  new window
 
 
 
 
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