6501.  考慮流動性下之利率期間結構預測

簡雨柔; Chien, Yu-jou ,  2007
[財務金融學系暨研究所] 學位論文
Approach,” Applied Financial Economics, Vol. 17, pp. 77-85. 3.Box, G. E. P., and G. M. Jenkins (1976), Time Series Analysis: Forecasting and Control, San

6502.  Is value-at-risk-based risk management valid for commodity markets during the global financial turmoil?

邱登揚; Chiu, Teng-yang ,  2009
[財務金融學系暨研究所] 學位論文
. and Rockinger, M., (2003), “Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements”. Journal of Economic Dynamics and Control

6503.  千禧年前後亞洲股市連動性研究—中國與亞洲四小龍

周克行; Cho, Ke-hsin ,  2007
[財務金融學系暨研究所] 學位論文
Transaction on Automatic Control, 1973, pp.716-723. Arshanpalli, B. and Doukas, J., “International Stock Market Linkages: Evidence form te Pre- and Post

6504.  短期利率的動態行為：GARCH-X模型之應用

洪棠譑; Hung, Tang-chiao ,  2007
[財務金融學系暨研究所] 學位論文
and Control", Holden-Day, San Francisco. Brenner, R., R. Harjes, and K. Kroner (1996), "Another Look at Models of the Short-term Interest Rate", Journal

6505.  波動度預測-GARCH類模型與類神經模型比較

宋謹行; Sung, Ching-hsin ,  2009
[財務金融學系暨研究所] 學位論文
-Scholes formula to evaluate the theoretical option prices and compare with real option prices. To control for the fact that as the number of models increase

6506.  歐元匯率與歐元會員國股價指數關聯性探討

方俊棋; Fang, Chun-chi ,  2006
[財務金融學系暨研究所] 學位論文
Analysis” , 26, pp.363-376. 17. Johansen, S. (1988), “Statistical analysis of cointegrating vectors” , Journal of Economic Dynamics and Control, 12

6507.  台灣股票型基金規模與股市的非線性關係探討

李淑貞; Lee, Shu-chen ,  2007
[財務金融學系暨研究所] 學位論文
Series", Estima: Evanston, Illinois, USA. 27.Johansen, S. (1988), "Statistical Analysis of Cointegration Vectors", Journal of Economic Dynamics and Control

6508.  Dynamics of underwriting profits : an empirical study of U.S. insurance markets

姜世杰; Jiang, Shi-jie ,  2007
[財務金融學系暨研究所] 學位論文
, S., 1988, Statistical Analysis of Cointegration Vectors and Dynamics and Control, Journal of Econometrics, 12: 231-254 Kim, K. H. (1998). US

6509.  流動性與價格發現之探討-以轉倉期間為例

謝依芬; Hsieh, Yi-fen ,  2007
[財務金融學系暨研究所] 學位論文
. 34.Johansen, S., 1988, Statistical analysis of cointegration vectors, Journal of Economic Dynamics and Control 12, 231-254. 35.Johansen, S. and K. Juselius

6510.  原油期貨與黃金期貨之非線性門檻互動關係研究

楊和讓; Yang, Hao-jang ,  2009
[財務金融學系暨研究所] 學位論文
and Control, 12, 231-254. 16. Johansen, S. (1991), “Estimation and hypotheses in testing of cointegration vectorin gaussian vector autoregressive model

6511.  分期投資報酬率下美股與臺股之長短期互動關係研究

詹兆文; Chan, Chao-wen ,  2008
[財務金融學系暨研究所] 學位論文
and Control, 12, 231-254. U0002-2101200810471000 https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/31574

6512.  短期利率動態波動模型 - 偏態分配之應用

林慧琪; Lin, Hui-chi ,  2008
[財務金融學系暨研究所] 學位論文
and Control", Holden-Day, San Francisco. 21. Chan, K., Karolyi, G. A., Longstaff, F. A., and Sanders, A. B. (1992), "An empirical comparison

6513.  隱含便利收益的資訊內涵 : 以Copula為基礎的美式選擇權定價模型

林明瑛; Lin, Ming-in ,  2006
[財務金融學系暨研究所] 學位論文
, 48, 1,50-72. Broadie, M., and Glasserman P., 1997, Pricing american-style securities using simulation, Journal of Economic Dynamics and Control, 21

6514.  現貨價格可測下最小變異避險策略

黃淑茹; Huang, Shu-ju ,  2009
[財務金融學系暨研究所] 學位論文
Financial Economics, vol. 3, pp. 67-72. 35. Sims, C. A.（1988）Bayesian skepticism on unit root econometrics, Journal of Economic Dynamics and Control

6515.  次貸風暴期間臺灣加權股價指數與基金淨值績效長短期因果關係研究

顏玉滿; Yen, Yu-man ,  2009
[財務金融學系暨研究所] 學位論文
: The Case of Mutual Fund Flows“Journal of Economic Dynamics & Control, Vol.21,pp.1117-1147. Markowitz, Harry M, 1952, “Portfolio Selection

6516.  債券之風險衡量 : Cornish Fisher應用

陳儒毅; Chen, Ju-yi ,  2006
[財務金融學系暨研究所] 學位論文
authority and availability of various products provided by the bond industry. Hence, risk management and risk control have become a significant

6517.  原油價格波動性預測

陳佳琪; Chen, Chia-chi ,  2008
[財務金融學系暨研究所] 學位論文
, Journal of Applied Econometrics 16(4), 521-536. Zakoian, J. M. (1994), Threshold heteroskedastic models, Journal of Economic Dynamics & Control 18(5

6518.  美國波動度指數與標的及相關指數之非線性平滑移轉模型之應用

紀少強; Chi, Shao-chiang ,  2007
[財務金融學系暨研究所] 學位論文
, “Statistical Analysis of Cointegration Vectors,” Journal of Economic Dynamics and Control, 12, 231-254. Kalyvas, L. and Dritsakis, N., 2003, “Causal

6519.  預測財務波動性 : CARR模型的應用

古欣卉; Ku, Hsin-hui ,  2006
[財務金融學系暨研究所] 學位論文
plays an important role in finance. If we can capture the characteristics of the motions of assets precisely, we could make good portfolios and control

6520.  美國油價期貨報酬與股市報酬率之非線性關係

陳隆昌; Chen, Lung-chung ,  2005
[財務金融學系暨研究所] 學位論文
., 38, pp195-213. Hsiao, Cheng, (1979) “Causality in econometrics”, journal of Economic Dynamics and Control, 4, pp321-346. Johansen, S., (1991

6521.  利率與房價長短期非線性因果關係研究 : 臺北市與臺北縣之比較

張瓊文; Chang, Chiung-wen ,  2009
[財務金融學系暨研究所] 學位論文
. 19.Johansen, S. (1988), “Statistical analysis of cointegrating vectors,” Journal of Economic Dynamics and Control, 12, pp.231-254. 20.Jud, G.. D

6522.  英、日匯率之長短期互動關係實證研究

吳彥儒; Wu, Yen-ju ,  2009
[財務金融學系暨研究所] 學位論文
Analysis of Cointegration Vectors,” Journal of Economics Dynamics and Control, Vol. 12, pp. 231-254. 34. Levich, Richard M., (1979), “The Denomination

6523.  台灣利率期限結構之非線性平滑轉換誤差修正模型實證研究

許琇庭; Hsu, Shiou-ting ,  2006
[財務金融學系暨研究所] 學位論文
of interest rates,” Journal of Economic Dynamics & Control, 27, 2243 – 2265. Shiller, R., J. Campbell, and K. Schoenholtz (1983),“Forward rates

6524.  比較現貨與期貨的波動率在TXO市場之預測能力

曾國書; Tzeng, Guo-shu ,  2009
[財務金融學系暨研究所] 學位論文
, Journal of Financial Economics 19, 351-372. Zakoian, J. M., 1994, Threshold heteroskedastic models, Journal of Economic Dynamics and Control, Elsevier

6525.  股票流動性對公司投資支出的影響－兩岸三地比較

張慧盈; Chang, Hui-ying ,  2008
[財務金融學系暨研究所] 學位論文
, Journal of Accounting and Economics 9, 287-310. 27. Maug, E.,1998, Large shareholders as monitors: Is there a trade-off between liquidity and control