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題名:Indebted We Stand-Examining Debt Restructuring in a Currency Union
書刊名:中山管理評論
作者:孫效孔
作者(外文):Sun, David
出版日期:2016
卷期:24:2
頁次:頁323-356
主題關鍵詞:馬可夫鏈蒙地卡羅貝氏模型歐洲貨幣同盟主權債務危機債務重整Markov Chain Monte CarloBayesian modelEuropean monetary unionSovereign debt crisisDebt restructuring
原始連結:連回原系統網址new window
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  • 點閱點閱:60
期刊論文
1.Eraker, Bjorn、Johannes, Michael S.、Polson, Nick(2003)。The Impact of Jumps in Volatility and Returns。Journal of Finance,58(3),1269-1300。  new window
2.Eaton, J.、Gersovitz, M.(1981)。Debt with Potential Repudiation: Theoretical and Empirical Analysis。Review of Economic Studies,48(2),289-309。  new window
3.Hastings, W. K.(1970)。Monte Carlo Sampling Methods Using Markov Chains and Their Applications。Biometrika,57(1),97-109。  new window
4.Bulow, J.、Rogoff, K.(1991)。Sovereign Debt Repurchases: No Cure for Overhang。Quarterly Journal of Economics,106(4),1219-1235。  new window
5.Bulow, J.、Rogoff, K.(1989)。LDC Debt: Is to Forgive to Forget?。American Economic Review,79(1),43-50。  new window
6.Bulow, J.、Rogoff, K.(1988)。The Buyback Boondoggle。Brookings Papers on Economic Activity,19(2),675-704。  new window
7.Arellano, C.、Ramanarayanan, A.(2012)。Default and the Maturity Structure in Sovereign Bonds。Journal of Political Economy,120(2),187-232。  new window
8.Creal, D.(2012)。A Survey of Sequential Monte Carlo Methods for Economics and Finance。Econometric Reviews,31(3),245-296。  new window
9.Cole, H. L.、Kehoe, T. J.(2000)。Self-fulfilling Debt Crises。Review of Economic Studies,67(1),91-116。  new window
10.Carter, C. K.、Kohn, R.(1996)。Markov Chain Monte Carlo in Conditionally Gaussian state space models。Biometrika,83(3),589-601。  new window
11.Gerlach, R.、Chen, C.、Chan, N.(2011)。Bayesian Time-Varying Quantile Forecasting for Value-at-Risk in Financial Markets。Journal of Business & Economic Statistics,29(4),481-492。  new window
12.Fruhwirth-Schnatter, S.(1994)。Applied State-Space Modelling of non-Gaussian time series using integration-based Kalman filtering。Statistics and Computing,4(4),259-269。  new window
13.Jacquier, E.、Polson, N. G.、Rossi, P.(1994)。Bayesian Analysis of Stochastic Volatility Models。Journal of Business Economics and Statistics,12(1),6-87。  new window
14.Geyer, C. J.(1992)。Practical Markov Chain Monte Carlo。Statistical Science,7(4),473-511。  new window
15.Kim, S.、Shephard, N.、Chib, S.(1998)。Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models。Review of Economic Studies,65(3),361-393。  new window
16.Lubik, T. A.、Schorfheide, F.(2007)。Do Central Banks Respond to Exchange Rate Movements? A Structural Investigation。Journal of Monetary Economics,54(4),1069-1087。  new window
17.Pitchford, R.、Wright, M.(2012)。Holdouts in Sovereign Debt Restructuring: A Theory of Negotiation in a Weak Contractual Environment。Review of Economic Studies,79(2),812-837。  new window
18.Krugman, P.(1988)。Financing vs. Forgiving a Debt Overhang。Journal of Development Economics,29(3),253-268。  new window
19.Smets, F.、Wouters, R.(2003)。An Estimated Dynamic Stochastic General Equilibrium Model of the Euroarea。Journal of the European Economic Association,1(5),1123-1175。  new window
20.Schwartz, E. S.、Zurita, S.(1992)。Sovereign Debt: Optimal Contract, Underinvestment and Forgiveness。Journal of Finance,47(3),981-1004。  new window
21.Xi, Y.、Peng, H.、Qin, Y.、Xie, W.、Chen, X.(2015)。Bayesian Analysis of Heavy-tailed Market Microstructure Models and Its Application in Stock Markets。Mathematics and Computers in Simulation,117(1),141-153。  new window
22.Geman, S.、Geman, D.(1984)。Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images。IEEE Transactions on Pattern Analysis and Machine Intelligence,6(6),721-741。  new window
23.Metropolis, N.、Rosenbluth, A. W.、Rosenbluth, M. N.、Teller, A. H.、Teller, E.(1953)。Equations of State Calculations by Fast Computing Machines。The Journal of Chemical Physics,21(6),1087-1092。  new window
24.Galí, J.、Monacelli, T.(2008)。Optimal Monetary and Fiscal Policy in a Currency Union。Journal of International Economics,76(1),116-132。  new window
研究報告
1.Das, U. S.、Papaioannou, M. G.、Trebesch, C.(2012)。Sovereign Debt Restructurings 1950-2010: Literature Survey, Data, and Stylized Facts。International Monetary Fund。  new window
2.Aguiar, M.、Amador, M.(2013)。Take the Short Route: How to Repay and Restructure Sovereign Debt with Multiple Maturities。National Bureau of Economic Research。  new window
3.Forni, L.、Pisani, M.(2013)。Macroeconomic Effects of Sovereign Restructuring in a Monetary Union: A Model-based Approach。International Monetary Fund。  new window
4.Roch, F.、Uhlig, H.(2014)。The Dynamics of Sovereign Debt Crises and Bailouts。University of Chicago。  new window
5.Reinhart, C. M.、Rogoff, K. S.(2013)。Financial and Sovereign Debt Crises: Some Lessons Learned and Those Forgotten。International Monetary Fund。  new window
圖書
1.Tanner, Martin Abba(1996)。Tools for Statistical Inference: Methods for the Exploration of Posterior Distributions and Likelihood Functions。Springer-Verlag。  new window
2.Geweke, J.(2005)。Contemporary Bayesian Econometrics and Statistics。Hoboken, NJ:John Wiley & Sons, Inc.。  new window
3.Tsay, R.(2010)。Analysis of Financial Time Series。New York:Wiley-Interscience。  new window
其他
1.Fornaro, L.(2015)。International Debt Deleveraging,Center for Economic Policy Research。  new window
2.Dogra, K.(2014)。Optimal Debt Restructuring and Lending Policy in a Monetary Union,Columbia University。  new window
圖書論文
1.Cohen, D.(1994)。Growth and External。Handbook of International Macroeconomics。London:Basil Blackwell。  new window
2.Johannes, M.、Polson, N.(2010)。MCMC Methods for Continuous-Time Financial Econometrics。Handbook of Financial Econometrics, Vol. 2: Applications。Oxford:North-Holland。  new window
3.Hore, S.、Johannes, M.、Lopes, H.、McCulloch, R.、Polson, N.(2010)。Bayesian Computation in Finance。Frontiers of Statistical Decision Making and Bayesian Analysis。New York:Springer-Verlag。  new window
 
 
 
 
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