المؤلفون: Chan, Kam C., Fung, Hung‐Gay, Zhang, Gaiyan

المصدر: Journal of Asia Business Studies, 2009, Vol. 4, Issue 1, pp. 3-12.

URL الوصول: http://www.emeraldinsight.com/doi/10.1108/15587890980000414

المؤلفون: 張邦翊, Chang, Bang-Yi

المساهمون: 財務金融學系

مصطلحات موضوعية: 共整合檢定, 向量自我回歸模型, 因果關係檢定, 領先與落後關係, co-integration test, vector autoregressive model, Granger test, lead and lag relationship

Relation: http://ir.lib.pccu.edu.tw//handle/987654321/25938; http://ir.lib.pccu.edu.tw/bitstream/987654321/25938/2/index.html

الاتاحة: http://ir.lib.pccu.edu.tw//handle/987654321/25938
http://ir.lib.pccu.edu.tw/bitstream/987654321/25938/2/index.html

المؤلفون: 苏闽兴

المساهمون: 陈蓉

مصطلحات موضوعية: 整体市场私人信息交易概率, VPIN模型, 领先与滞后关系, the Probability of Marketwide Information Trade, VPIN model, Lead and lag relationship, eco, manag

Relation: http://dspace.xmu.edu.cn/handle/2288/41180

الاتاحة: http://dspace.xmu.edu.cn/handle/2288/41180

المؤلفون: 魏伯宇, Wei, Po-Yu

المساهمون: 洪茂蔚, 臺灣大學：國際企業學研究所

مصطلحات موضوعية: 短期利率期貨, 三十天期融資性商業本票, lead and lag relationship, interest rate Futures, commercial paper rate futures

وصف الملف: 423108 bytes; application/pdf

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Granger, C.W.J and Engle, R.F.(1987), “Cointegration and error correction: Representation ,estimation and testing, ” Econometrica. Vol.55(2), pp.251-276. Granger, C. W. J., (1988), “Some Recent Developments in a Concept of Causality,”Econometrica, Vol.39, pp.199-211. Hendershott, P. H. (1967), “The structure of international interest rates:The US Treasury bill rate and the Eurodollar deposit rate,” Journal of Finance, Vol. 22, pp.455-465. Johansen,S.(1988), “Statistical Analysis of Cointegration Vectors,” Journal of Economic Dynamic and Control.and Juselius, Vol.52, pp.169-210. Johansen and Juselius(1990), “Maximum Likelihood Estimation and Inference on Cointegration:with Application to the Demand for Money,” Oxford Bulletin of Economics and Statistics, Vol.52,pp.169-210. Keynes, J.M. (l964), “The General Theory of Employment, Investment, and Money,London: Harcovrt Brace Joranorich, ” Vol.16,pp.45-46. Kwack, S. Y. (1971),“The Structure of International Interest Rates:An Extension of Hendershot’s Test,” Journal of Finance, September. Kaen, F. R. and G .A. Hachey (1983),“Eurocurrency and National Money Market Interest Rates: An Empirical Investigation of Causality, ” Journal of Money, Credit and Banking, August, pp.327-328. Kuprianov(1986), “Short-Term Interest Rate Futures,” In Instruments of the Money Market,Vol.22, pp.69-92. Krehbiel, Tim, and Lee C. Adkins(1993), “Co- integration Test of the Unbiased Expectation Hypothesis in Mental Markets, ” The Journal of Futures Markets, Vol.13,No.7, pp.753-763. Levin, J. H. (1974),“The Eurodollar Market and the International Transmission of Interest Rates,” Canadian Journal of Economics, Vol.7, pp.205-224. Li Hungchih (1992),“The Integration Berween Exter-nal and Domestic Money Markets Volatility Based on Intraday Eurodollar and Treasuryi Bills Futures Price,”中國財務學會八十三年年會論文. Lin, Antsong , Peggy E. Swanson (1993),“Measuring Global Money Market Interrelationships: An Investigation of Five Major World Currencies,” Journal of Banking and Finance,Vol.17, pp.609-628. Madura, J. , W. Mcdaniel (1987),“ Impacat of the Crash on Gains from Internation Diversification,” Journal of International Finance, Forthcoming. Martikainen(1995),“Intrady Return Dynamics between the Cash and the Futures Markets,”The Journal of Futures Markets, Vol.2, pp147-162. Nelson D.(1991),“Conditional heteroskedasticity in asset returns:A new approach,”Econometrica, Vol.59, pp.335-370. Osterwald-Lenum, M. (1992),“Practitioner's Corner- A Note with Quantiles of The Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics, ” Oxford Bulletin of Economics and Statistics,Vol.54, pp.461-472 Phillips,P., and Perron,P.(1988),“Testing for unit root in time series regression,”Biometrika, Vol.75, 335-346 Sargan, J. D.(1964),“Wages and Prices in the United Kingdom: A Study in Econometric Methodology,” in P. E. Hart, G. Mills and J. K. Whitaker (eds.), Econometric Analysis for National Economic Planning, Butterworth, London; reprinted in D.F. Hendry and K. F. Wallis (eds.), Econometrics and Quantitative Economics, Basil Blackwell, Oxford, 1984. Schwart, G. W. (1987), “Effects of Model Specification on Tests for Unit Roots in Macroeconomic Data, ” Journal of Monetary Economics, Vol.20, pp.73-103. Swanson, P. E. (1987),“Capital Market Integration over the Past Decade:The Case of the U.S.Dollar, ” Journal of International Money and Finance, Vol.6, pp.215-225. Swanson, P. E. (1988a),“The International Transmission of Interest Rates:A Note On Causal Relatioship Between Short-term External and Domestic U.S. Dollar Returns,”Journal of Banking and Finance, Vol. 12, pp.563-573. Swanson, P. E. (1988b),“Interrelationship Among Domestic and Eurocurrency Depoist Yield: A Focus On The U.S. Dollar,” The Financial Review,Vol.23, February, pp.87-94. Schwart, W.(1990),“Stock market volatility,” Finanacial Analyst Journal, Vol.46,pp.23-34. Working, H.(1949),“The Theory of the Price of Storage,” American Economic Review,Vol.39, pp.1254-1262.; zh-TW; http://ntur.lib.ntu.edu.tw/handle/246246/60433; http://ntur.lib.ntu.edu.tw/bitstream/246246/60433/1/ntu-94-R92724083-1.pdf

الاتاحة: http://ntur.lib.ntu.edu.tw/handle/246246/60433
http://ntur.lib.ntu.edu.tw/bitstream/246246/60433/1/ntu-94-R92724083-1.pdf