:::

詳目顯示

回上一頁
題名:拋補利率平價之偏離對股市報酬的影響
書刊名:中原企管評論
作者:蘇欣玫謝秀瑛白東岳
作者(外文):Su, Hsin-MeiHsieh, Hsiu-YingPai, Tung-Yueh
出版日期:2007
卷期:5:2
頁次:頁1-21
主題關鍵詞:拋補利率平價說ARJI-trend模型波動率的要素因子跳躍現象利息套利Covered interest rate parityARJI-trend modelThe component factors of volatilityJump phenomenonInterest arbitrage
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(0) 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:0
  • 共同引用共同引用:19
  • 點閱點閱:35
期刊論文
1.Taylor, M. P.、Sarno, L.(1998)。The Behavior of Real Exchange Rates during the Post-Bretton WoodsPeriod。Journal of International Economics,46,281-312。  new window
2.Kim, K.(2003)。Dollar Exchange Rate and Stock Price: Evidence from Multivariate Cointegration and Error Correction Model。Review of Financial Economics,12,301-313。  new window
3.Dooley, M. P.、Isard, P.(1980)。Capital Controls, Political Risk and Deviations from Interest-Rate Parity。Journal of Political Economy,88(2),370-384。  new window
4.Aliber, Robert Z.(1973)。The Interest Rate Parity Theorem: A Reinterpretation。Journal of Political Economy,81(6),1451-1459。  new window
5.Taylor, Mark P.(1989)。Covered Interest Arbitrage and Market Turbulence。The Economic Journal,99,376-391。  new window
6.Chan, W. H.、Maheu, J. M.(2002)。Conditional Jump Dynamics in Stock Market Returns。Journal of Business and Economic Statistics,20(3),377-389。  new window
7.林丙輝、葉仕國(19990900)。臺灣股票價格非連續跳躍變動與條件異質變異之研究。證券市場發展,11(1)=41,61-92。new window  延伸查詢new window
8.Chen, S. W.、Shen, C. H.(2004)。GARCH, jumps and permanent and transitory components of volatility: The case of the Taiwan exchange rate。Mathematics and Computers in Simulation,67(3),201-216。  new window
9.Maysami, R. C.、Koh, T. S.(2000)。A Vector Error Correction Model of the Singapore Stock Market。International Review of Economics and Finance,9(1),79-96。  new window
10.Maasoumi, E.、Pippenger, J.(1989)。Transaction Cost and The Interest Parity Theorem: Comment。Journal of Political Economy,97,236-243。  new window
11.Cosandier, P. A.、Lang, B. R.(1981)。Interest Rate Parity Tests。Journal of Banking and Finance,5,187-200。  new window
12.Atkins, F. J.(1991)。Covered Interested Parity Between Canada and the United States: Another look using Modern Time Series Methods。Empirical Economics,16,325-334。  new window
13.Cliton, Kevin(1988)。Transactions Costs and Covered Interest Arbitrage: Theory and Evidence。Journal of Political Economy,96(2),358-370。  new window
14.Jorion, P.(1998)。On Jump Processes in the Foreign Exchange and Stock Markets。The Review of Financial Studies,1(4),427-445。  new window
15.賴宏忠、劉曦敏(19960400)。利率、滙率與股價之長期均衡與因果關係--共整合分析法之應用。證券金融,49,23-42。  延伸查詢new window
16.Sephton, Peter S.、Larsen, Hans K.(1991)。Tests of Exchange Market Efficiency: Fragile Evidence from Cointegration Tests。Journal of International Money and Finance,10,561-570。  new window
17.Frankel, A. J.(1992)。Measuring International Capital Mobility: A Review。American Economic Review,82(2),197-202。  new window
18.Abeysekera, S. P.、Turtle, H. J.(1995)。Long-Run Relations in Exchange Markets: A Test of Covered Interest Parity。The Journal of Financial Research,18(4),431-447。  new window
19.Bahmani-Oskooee, M.、Das, S. P.(1985)。Transaction Cost and the Interest Parity Theorem。Journal of Political Economy,93(4),793-799。  new window
20.Johansen, Søren(1988)。Statistical Analysis of Cointegration Vectors。Journal of Economic Dynamics and Control,12(2/3),231-254。  new window
21.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
22.Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica,55(2),251-276。  new window
23.Barkoulas, J., Baum, C. F.,(1997)。“A Re-Examination of the Fragility of Evidence from Cointegration-Based Tests of Foreign Exchange Market Efficiency”。Applied Financial Economics,vol.7,635-43。  new window
24.Dinenis, E., Staikouras, S. K.,(1998)。“Interest Rate Changes and Common Stock Returns of Financial Institutions: Evidence from the UK”。The European Journal of Finance,vol.4,no.2,113-127。  new window
25.Hakkio, C. S., Rush, M.,(1989)。“Market Efficiency and Cointegration: An Application to the Stering and Deutschemark Exchange Markets”。Journal of International Money and Finance,vol.8,829-53。  new window
26.Holmes, M. J.,(2001)。“Some new evidence on exchange rates, capital controls and European Union financial integration”。International Review of Economics and Finance,vol.10,135-46。  new window
27.Haug, A., Mackinnon, J., Michelis, L.,(2000)。“European Monetary Union: A Cointegration Analysis”。Journal of International Money and Finance,vol.19,419-432。  new window
28.Johansen, S.,(1991)。“Estimation and Hypotheses in Testing of Cointegration Vectors in Gaussian Vector Autoregressive Model”。Econometrica,vol.59,1551-1580。  new window
29.Kreicher, L. L.,(1982)。“Eurodollar Arbitrage, ”。FRBNY Quarterly Review,Summer,10-22。  new window
30.Lee, H. Y., Wu, J. L.,(2001)。“Mean Reversion of Inflation Rates: Evidence from 13 OECD Countries”。Journal of Macroeconomics,vol.23,477-487。  new window
31.MacDonald, R., Torrance, T. S.,(1989)。“On Risk, Rationality and Excessive Speculation in the Deutschmark-US Dollar Exchange Marker: Some Evidence Using Survey Data”。Oxford Bulletin of Economics and Statistics,vol.50,107-124。  new window
32.Shafer, J., Loopesko, B.,(1983)。“Floating Exchange Rates after Ten Years”。Brooking Papers on Economic Activity,vol.1,1-70。  new window
33.Spiegel, M. M.,(1990)。“Capital Controls and Deviations from Proposed Interest Rate Parity: Mexico 1982”。Economic Inquiry,vol.28,no.2,239-48。  new window
34.Wongbangpo, P., Sharma, S. C.,(2002)。“Stock market and macro economic fundamental dynamic interactions: ASEAN-5 countries”。Journal of Asian Economics,vol.13,no.1,27-51。  new window
35.Wu, J. L., Chen, S. L.,(1998)。“A Re-Examination of Real Interest Rate Parity”。Canadian Journal of Economics,vol.3 1,no.4,837-51。  new window
研究報告
1.Das, S. R.(1998)。Poisson-Gaussian Processes and the Bond Market。National Bureau of Economic Research。  new window
其他
1.Engle, R. F.,Lee, G. J.(1993)。A Permanent and Transitory Component Model of Stock Return Volatility,San Diego:University of California。  new window
 
 
 
 
第一頁 上一頁 下一頁 最後一頁 top
QR Code
QRCODE