通貨膨脹對基金報酬率之關聯研究-縱橫平滑移轉門檻模型之應用

The dynamic interactive relationship between inflation and mutual fund return - approach by panel smooth transition model

劉蓓珊(Pei-Shan Liu)

指導教授 ： 聶建中

共同指導教授 ： 盧陽正(Yang-Cheng Lu)

淡江大學/商學院/財務金融學系碩士在職專班/碩士(2009年)

https://doi.org/10.6846/TKU.2009.01277

摘要

本篇摘要未授權

關鍵字

縱橫平滑移轉門檻模型 ； 基金報酬 ； 通貨膨脹

並列摘要

This abstract would not be displayed due to no authorization.

並列關鍵字

panel smooth transition model ； mutual fund return ； inflation

參考文獻

Andrews, D. W. K. and W. Ploberger (1994), Optimal tests when a nuisance　　parameter is present only under the alternative, Econometrica, 62, 1383–1414

Ariff, Mohamed (2002), The Effect of Interest Rate Volatility on Treasury Yields, Applied Financial Economics, 12, 667-673.

Bakshi, G. S. and Zhiwu Chen (1996), “Inflation, asset prices and the term structure of interest rates in monetary economies, Review of Financial Studies , 9, 241-275

Ball, Clifford A. and Walter N. Torous (1999), The Stochastic Volatility of Short-term Interest Rates: Some International Evidence, The Journal of Finance, 54, 2339-2360.

Campbell, John Y. (1996), Understanding risk and return, Journal of Political Economy, 104, 298-345