台灣短期利率之不對稱動態擴散研究

Asymmetric Dynamic Diffusion research：An Empirical Investigation of Short-Term Interest Rate Model in Taiwan.

何怡諄(I-Chun Ho)

指導教授 ： 李命志

淡江大學/商學院/財務金融學系碩士班/碩士(2005年)

https://doi.org/10.6846/TKU.2005.00819

摘要

本篇摘要未授權

關鍵字

利率模型 ； GARCH ； NARCH ； 不對稱

並列摘要

This abstract would not be displayed due to no authorization.

並列關鍵字

Interest Model ； GARCH ； NARCH ； SV ； Asymmetric

參考文獻

7.Ahn, D-H. and B. Gao, 1999, "A parametric nonlinear model of term structure dynamics," Review of Financial Studies, vol.12, pp.721-762.

8.Aït-Sahalia, Y., 1996, "Testing continuous-time models of the spot interst rate," Review of Financial Studies, vol.9, pp.385-426.

9.Akaike,H., 1974, "A new look at the statistical model identification," IEEE Trans.On Auto.Control, vol.19, pp.716-723.

10.Andersen, Torben G., and Jesper Lund, 1997, "Estimating continuous time stochastic volatility models of the short-term interest rate," Journal of Econometrics, vol.77, pp.343-377.

11.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, pp.307-327.