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題名:匯率的非線性調整、套利與經濟價值可預測性
書刊名:人文及社會科學集刊
作者:吳博欽 引用關係申志偉潘聖潔
作者(外文):Wu, Po-chinShen, Chih-weiPan, Sheng-chieh
出版日期:2009
卷期:21:1
頁次:頁101-142
主題關鍵詞:貨幣基要套利平滑轉換(自我)迴歸模型擇時能力資產配置Monetary fundamentalsArbitrageST(A)R modelMarket timingAsset allocation
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(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:0
  • 點閱點閱:88
期刊論文
1.Marquering, W.、Verbeek, M.(2004)。The Economic Value of Predicting Stock Index Returns and Volatility。Journal of Financial and Quantitative Analysis,39(2),407-429。  new window
2.Guidolin, M.、Timmermann, A.(2007)。Asset Allocation under Multivariate Regime Switching。Journal of Economic Dynamics and Control,31,3503-3544。  new window
3.Michael, P.、Nobay, A. R.、Peel, D. A.、Nobay, D. A.(1997)。Transactions Costs and Nonlinear Adjustment in Real Exchange Rates: An Empirical Investigation。Journal of Political Economy,105,862-879。  new window
4.Taylor, M. P.、Peel, D. A.(2000)。Nonlinear Adjustment, Long-run Equilibrium and Exchange Rate Fundamentals。Journal of International Money and Finance,19(1),33-53。  new window
5.Anderson, H. M.、Teräsvirta, T.(1992)。Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models。Journal of Applied Econometrics,7,119-136。  new window
6.Dacco, Robert、Satchell, Steve(1999)。Why do regime-switching models forecast so badly?。Journal of Forecasting,18,1-16。  new window
7.Meese, Richard A.、Rogoff, Kenneth S.(1983)。Empirical Exchange Rate Models of the Seventies: Do They Fit Out of Sample?。Journal of International Economics,14(1/2),3-24。  new window
8.Pesaran, M. H.、Timmemann, A.(1995)。Predictability of stock returns: Robustness and economic significance。Journal of Finance,50(4),1201-1228。  new window
9.Lin, Chien-Fu Jeff、Teräsvirta, Timo(1994)。Testing the Constancy of Regression Parameters against Continuous Structural Change。Journal of Econometrics,62(2),211-228。  new window
10.Groen, J. J. J.(2000)。The Monetary Exchange Rate Model as a Long-Run Phenomenon。Journal of International Economics,52(2),299-320。  new window
11.Teräsvirta, Timo(1994)。Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models。Journal of the American Statistical Association,89(425),208-218。  new window
12.Mark, Nelson C.(1995)。Exchange Rates and Fundamentals: Evidence on Long-Horizon Predictability。American Economic Review,85(1),201-218。  new window
13.Sarantis, Nicholas(1999)。Modeling Non-linearities in Real Effective Exchange Rates。Journal of International Money and Finance,18(1),27-45。  new window
14.Teräsvirta, T.、van Dijk, D.、Medeiros, M. C.(2005)。Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination。International Journal of Forecasting,21(4),755-774。  new window
15.Kilian, Lutz、Taylor, Mark P.(2003)。Why is it So Difficult to Beat the Random Walk Forecast of Exchange Rates?。Journal of International Economics,60(1),85-107。  new window
16.Engel, Charles、Hamilton, James D.(1990)。Long Swings in the Dollar: Are They in the Data and Do Markets Know It?。American Economic Review,80(4),689-713。  new window
17.Ang, Andrew、Bekaert, Geert(20021001)。International Asset Allocation with Regime Shifts。Review of Financial Studies,15(4),1137-1187。  new window
18.Markowitz, Harry M.(1952)。Portfolio Selection。The Journal of Finance,7(1),77-91。  new window
19.Leitch, Gordon、Tanner, J. Ernest(1991)。Economic Forecast Evaluation: Profits versus the Conventional Error Measures。American Economic Review,81(3),580-590。  new window
20.Bollerslev, Tim(1990)。Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model。The Review of Economics and Statistics,72(3),498-505。  new window
21.Engel, Charles(1994)。Can the Markov Switching Model Forecast Exchange Rates?。Journal of International Economics,36(1/2),151-165。  new window
22.Frenkel, J. A.(1981)。“Flexible Exchange Rates, Prices, and the Role of News: Lessons from the 1970’s,”。Journal of Political Economy,89,665-705。  new window
23.Mark, N. C. and D. Sul(2001)。“Nominal Exchange Rates and Monetary Fundamentals: Evidence from a Small Bretton woods Panel,”。Journal of International Economics,53,29-52。  new window
24.McMillian, D. G.(2001)。“Nonlinear Predictability of Stock Market Returns: Evidence from Nonparametric and Threshold Models,”。International Review of Economics and Finance,10,353-368。  new window
25.Abhyankar, A., L. Sarno, and G. Valente(2005)。“Exchange Rates and Fundamentals: Evidence on the Economic Value of Predictability,”。Journal of International Economics,66,325-348。  new window
26.Allen, H. and M. P. Taylor(1990)。“Charts, Noise and Fundamentals in the Foreign Exchange Market,”。Economic Journal,100,49-59。  new window
27.Bai, J. and S. Ng(2005)。“Test for Skewness, Kurtosis, and Normality for Time Series Data,”。Journal of Business and Economic Statistics,23,49-60。  new window
28.Barberis, N.(1999)。“Investing for the Long Run When Returns Are Predictable,”。Journal of Finance,55,225-264。  new window
29.Berkowitz, J.、Giorgianni, L.(2001)。Long-Horizon Exchange Rate Predictability?。Review of Economics and Statistics,83,81-91。  new window
30.Black, F. and R. Litterman(1992)。“Global Portfolio Optimization,”。Financial Analyst Journal,48,28-43。  new window
31.Brooks, C.(1996)。“Testing for Nonlinearity in Daily Sterling Exchange Rates,”。Applied Financial Economics,6,307-317。  new window
32.---(1997)。“Linear and Nonlinear (non-) Forecastability of High Frequency Exchange Rate,”。Journal of Forecasting,16,125-145。  new window
33.Chen, S. L. and J. L. Wu(2000)。“A Re-examination of Purchasing Power Parity in Japan and Taiwan,”。Journal of Macroeconomics,22,271-284。  new window
34.Chinn, M. D. and R. A. Meese(1995)。“Banking on Currency Forecasts: How Predictable Is a Change in Money?”。Journal of International Economics,38,161-178。  new window
35.Chow, G. C.(1960)。“Testing for Equality between Sets of Coefficient in Two Linear Regression Relationship over Time,”。Econometrica,38,167-178。  new window
36.Clark, T. F. and M. W. McCracken(2001)。“Test of Equal Forecast Accuracy and Encompassing for Nested Models,”。Journal of Econometrics,105,85-110。  new window
37.Clarke, R. G. and H. Silva(1998)。“State Dependent Asset Allocation,”。The Journal of Portfolio Management,24,57-64。  new window
38.Engel, C.(2000)。“Long-Run PPP May Not Hold after All,”。Journal of International Economics,3,123-192。  new window
39.Ocal, N. and D. R. Osborn(2000)。“Business Cycles Non-Linearities in UK Consumption and Production,”。Journal of Applied Econometrics,15,27-43。  new window
40.Pesaran, M. H. and A. Timmermann(1992)。“A Simple Non-Parametric Test of Predictive Performance,”。Journal of Business and Economic Statistics,10,461-465。  new window
41.Rapach, D. E. and M. E. Wohar(2002)。“Testing the Monetary Model of Exchange Rate Determination: New Evi. dence from a Century of Data,”。Jounal of International Economics,58,359-385。  new window
42.Sarno, L.(1998)。Adjustment Costs and Nonlinear Dynamics in the Demand for Money: Italy, 1861-1991。Internationaal Journal of Finance and Economics,4,155-177。  new window
43.Sarno, L., M. P. Taylor, and D. A. Peel(2003)。“Nonlinear Equilibrium Correction in U.S. Real Money Balances, 1869-1997,”。Journal of Money, Credil and Banking,35,787-799。  new window
44.Satchell, S. and A. Timmermann(1995)。“An Assessment of the Economic Value of Nonlinear Foreign Exchange Rates Forecasts,”。Journal of Forecasting,14,477-498。  new window
45.Seo, M. H. and O. Linton(2007)。“A Smoothed Least Squares Estimator for Threshold Regression Model,”。Journal of Econometrics,141,704-735。  new window
46.Skalin, J. and T. Tersvirta(1999)。“Another Look at Swedish Business Cycles,”。Journal of Applied Econometrics,14,359-378。  new window
47.Teräsvirta, T.、Eliasson, A. C.(2001)。Non-Linear Error Correction and the UK Demand for Broad Money, 1878-1993。Journal of Applied Econometrics,16,277-288。  new window
48.West, K. D.、Edison, H. J.、Cho, D.(1993)。A Utility-Based Comparison of Some Models of Exchange Rate Volatility。Journal of International Economics,35,23-45。  new window
會議論文
1.Aslanidis, N.(2002)。“Smooth Transition Regression Models in UK Stock Returns,”。Coventry。  new window
圖書
1.Granger, C. W. J.、Teräsvirta, T.(1993)。Modelling Nonlinear Economic Relationships。Oxford:Oxford University Press。  new window
2.Frankel, J. A. and K. A. Froot(1990)。“Chartists, Fundamentalists and the Demand for Dollars,”。Private Behaviour and Government Policies in Interdependent Economies。Oxford。  new window
圖書論文
1.Obstfeld, M.、Rogoff, K.(2000)。The Six Major Puzzles in International Macroeconomics: Is There a Common Cause?。NBER Macroeconomics Annual。  new window
 
 
 
 
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