- 學位論文
利率期限結構之非線性平滑狀態轉換模型分析
Testing the Expectations Theory of the Term Structure of Interest Rates in Smooth Transition Regime-Switching Model
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並列摘要
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參考文獻
沈中華(1993)，「The Term Structure of Taiwan Money Market Rates and Rational Expections」，中華財務學會八十二年年會論文，227-307。
Akaike, H. (1974), “A New Look at the Statistical Model Identification”, Institute of Electrical and Electronics Engineers (IEEE) Transactions on Automatic Control Vol. 19, 716-722.
Bekaert, G. and R.J. Hodrick (2001), “Expectations Hypotheses Tests”, Journal of Finance Vol. 56, 1357-1394.
Boero, G. and C. Torricelli (2002), “The Information in the Term Structure of German Interest Rates”, The European Journal of Finance Vol. 8, 509-528.
Brown, C.R. , K.B. Cyree , M.D. Griffiths and D.B. Winters (2008), “Further Analysis of the Expectations Hypothesis Using Very Short-Term Rates”, Journal of Banking and Finance Vol. 32, 600-613.
延伸閱讀
- 林慧琪（2008）。短期利率動態波動模型 - 偏態分配之應用〔碩士論文，淡江大學〕。華藝線上圖書館。https://doi.org/10.6846/TKU.2008.00721
- 李賢源、林慧貞（1998）。最大平滑度遠期利率曲線配適模型之再探討。中國財務學刊，6(1)，45-75。https://doi.org/10.6545/JoFS.1998.6(1).2
- Kuo, P. L. (2020). 長短期利率變動的不對稱性探討及利差與總體經濟的互動 [doctoral dissertation, Tamkang University]. Airiti Library. https://www.airitilibrary.com/Article/Detail?DocID=U0002-1207202002205900
- 龍思筠（2007）。An Empirical Comparison of Alternative Models of The Short-Term Interest Rate Dynamics.〔碩士論文，淡江大學〕。華藝線上圖書館。https://www.airitilibrary.com/Article/Detail?DocID=U0002-0106200701411300
- 蔡育蓉（2007）。Nonlinear Smooth Transition Error Correction Model in Exchange Rates〔碩士論文，淡江大學〕。華藝線上圖書館。https://doi.org/10.6846/TKU.2007.00906