5701.  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
;時間序列;Term Structure of Interest Rates;Liquidity;Forecasting;Time series 由於我國公債市場的交易分配不均，所以流動性不同的債券，流動性溢酬應該也不相同，而這種情形也會反應在殖利率曲線上，影響到殖利率曲線的形狀，所以，在配適殖利率曲

5702.  美國資本市場效率性檢定

高淑華; Kao, Shu-hua ,  2007
[財務金融學系暨研究所] 學位論文
. 107–126. 8. Dickey, D. and W. Fuller (1979), “Distribution of the Estimators for Autoregressive Time Series with a Unit Root,” Journal

5703.  經濟成長差異對公司資本結構之影響-以臺灣上市公司為例

洪嘉偉; Hung, Chia-wei ,  2008
[財務金融學系暨研究所] 學位論文
’s listed firms during 1995-2006 to analyze the impact of economic growth to capital structure. To consider the different characteristics of time

5704.  以選擇權理論估計訊息交易機率

江孟穎; Chiang, Meng-ying ,  2008
[財務金融學系暨研究所] 學位論文
in January 29, 2001 for S&P100 constituent stocks and ETF by Easley, Kiefer, O’Hara, and Paperman (1996) and option approaches, In cross and time sectional

5705.  貨幣政策對經濟成長的影響－馬可夫轉換模型之應用

黃麗萍; Huang, Li-ping ,  2007
[財務金融學系暨研究所] 學位論文
of Nonstationary Time Series and the Business Cycle”, Econometrica, 57, pp. 357-384. 10. Hamilton, J. D., (1996), “Specification testing in Markov-switching

5706.  以微結構模型探討NASDAQ報價價差組成份

張家銘; Chang, Chia-ming ,  2008
[財務金融學系暨研究所] 學位論文
. The empirical results that the inventory and adverse selection costs are estimated by two-way model effect on average trading between time and trading

5707.  外匯投資組合風險值之估計 : DCC多變量GARCH模型之應用

陳志偉; Chen, Chih-wei ,  2005
[財務金融學系暨研究所] 學位論文
-tail and volatility clustering, is the better choice to compute VaR on foreign exchange portfolio. In addition, the returns of eight currencies lead

5708.  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
and determinants of convenience yield over time for three month oil commodities futures. Contrary to previous approaches, convenience yields are treated

5709.  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
灣及美國市場之實證」，淡江大學財務金融研究所碩士論文。 二、國外文獻： Akgiray, V. (1989), Conditional heteroscedasticity in time series of stock returns: evidence and forecasts

5710.  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
results, we found that these time series of both financial markets are stationary after first differential however they are non-stationary