- 學位論文
短期利率動態調整之實證研究
An Empirical Comparison of Alternative Models of The Short-Term Interest Rate Dynamics.
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並列摘要
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參考文獻
1. 何怡諄，" 台灣短期利率之不對稱動態擴散研究 "，民國94年6月，私立淡江大學財務金融學系金融碩士班碩士論文。
16. Cox, John C., Jonathan E. Ingersoll, and Stephen A. Ross, 1980, "An analysis of variable rate loan contracts," Journal of Finance, vol. 35, 389-403.
1. Ahn, D-H. and Gao, B., 1999, "A parametric nonlinear model of term structure dynamics," Review of Financial Studies, vol. 12, 721-762.
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3. Bali, Turan G., 2000, "Testing the empirical performance of stochastic volatility models of the short-term interest rate," Journal of Financial and Quantitative Analysis, vol. 35, 307-327.
延伸閱讀
- 陳玫靜（2005）。短率波動對利率期限結構影響之實證研究〔碩士論文，淡江大學〕。華藝線上圖書館。https://doi.org/10.6846/TKU.2005.00514
- 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
- 洪堯基（2008）。短期利率動態模型-偏態分配之實證研究〔碩士論文，淡江大學〕。華藝線上圖書館。https://doi.org/10.6846/TKU.2008.00569
- 鄭淑娟（2011）。股指、利率與匯率之長期均衡及短期動態關係研究--台灣實證〔碩士論文，淡江大學〕。華藝線上圖書館。https://www.airitilibrary.com/Article/Detail?DocID=U0002-2506201116475100
- Chuang, I. Y. (2000). Implementing Two-Factor Interest Rate Model with Path-Dependent State Variables. 中國財務學刊, 8(2), 1-24. https://doi.org/10.6545/JoFS.2000.8(2).1