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題名:International Money Market Integration: An Application of GARCH Model with Consideration of Missing Data
書刊名:中山管理評論
作者:Lin,AntsongShen,Chung-hua
出版日期:1995
卷期:3:3
頁次:頁1-14
原始連結:連回原系統網址new window
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The purpose of this study is to re-examine Taiwan's progress in entering the international financial arena and achievement in the liberalization of the banking industry by implementing a GARCH error correction model incorporating the missing-data effect. The evidence show that the causality relationships with consideration of missing data are drastically different from those without taking into account of them, confirming the existence of the missing- data effect. Bi-directional Granger causality relationships are supported for all pairings of markets when both heteroscedasticity and mis-specification of models are considered. In addition, Taiwan's liberalization. of the banking industry is more successful than previously believed, being proved by its long-term co-movements with Singapore and London.
期刊論文
1.White, H.(1980)。A Heteroscedasticity-consistent Covariance Matrix Estimator and Direct test for Heteroscedasticity。Econometrica,48,817-838。  new window
2.Hartman, D. G.(1984)。The International Financial Market and U.S. Interest Rates。Journal of International Money and Finance,3,91-103。  new window
3.Swanson, P. E.(1988)。Interrelationships among Domestic and Eurocurrency Deposit Yields: A Focus on the U.S. Dollar。The Financial Review,23(1),81-94。  new window
4.Johansen, Soren、Juselius, Katarina(1992)。Testing Structural Hypotheses in a Multivariate Cointegration Analysis of the PPP and the UIP for UK。Journal of Econometrics,53(1-3),211-244。  new window
5.Giddy, Ian H.、Dufey, G.、Min, S.(1979)。Interest Rate in the U.S. and Eurodollar Markets。Weltwirtschaftliches Archiv,115,51-67。  new window
6.Kwack, Sung Y.(1971)。The structure of international interest rates: An extension of Hendershott's tests。Journal of Finance,26,897-900。  new window
7.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
8.Lin, Antsong、Swanson, Peggy E.(1993)。Measuring Global Money Market Interrelationships: An Investigation of Five Major World Currencies。Journal of Banking and Finance,17(1),609-628。  new window
9.Argy, Victor、Hodjera, Zoran(1973)。Financial Integration and Interest Rate Linkages in Industrial Countries, 1958-1971。International Monetary Fund Staff Papers,20,1-77。  new window
10.Lin, Antsong、Leu, Shirley(19940900)。Offshore Money Market Integration-Evidence of the U.S. Dollar Yields in Taiwan, Singapore, and the United Kingdom。中山管理評論,2(3),1-13。  new window
11.Swanson, Peggy E.(1987)。Capital Market Integration over the Past Decade: The Case of the U. S. Dollar。Journal of International Money and Finance,6,215-225。  new window
12.Lin, Antsong(1995)。Emerging Capital Markets: Asiancurrency Markets and Global Money Market Integration。Journal of International Finance。  new window
13.Engle, Robert F.、Yoo, Byung Sam(1987)。Forecasting and Testing in Co-Integrated Systems。Journal of Econometrics,35(1),143-159。  new window
14.Hansen, Lars Peter(1982)。Large Sample Properties of Generalized Method of Moments Estimators。Econometrica: Journal of the Econometric Society,50(4),1029-1054。  new window
15.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
16.Hendershott, Patric H.(1967)。The Structure of International Interest Rates: The U. S. Treasury Bill Rate and the Eurodollar Deposit Rate。The Journal of Finance,22,455-465。  new window
17.Dempster, A. P.、Laird, N. M.、Rubin, D. B.(1977)。Maximum Likelihood from Incomplete Data Via the EM Algorithm。Journal of the Royal Statistical Society B,39,1-38。  new window
圖書
1.Fuller, Wayne A.(1976)。Introduction to Statistical Time Series。New York, NY:John Wiley and Sons。  new window
單篇論文
1.Trevor, R.(1994)。GARCH with Missing Observations,University of New South Wales。  new window
 
 
 
 
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