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    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/89873

    Title: 套利定價理論與VAR模型之聯合估計 : 以台灣外匯市場為例
    Authors: 廖志強
    Contributors: 林祖嘉
    Date: 1992
    Issue Date: 2016-05-02 17:11:45 (UTC+8)
    Reference: [1] 汪義芳(1985) , 74 年中國經濟學會年會論文集。
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    [6] Brown, S. J. and M. 1. Weinstein (1983), "A New Approach to Testing Asset Pricing Models: The Bilinear Paradigm", Journal of Finance 38, pp.711-744.
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    [16] Dhrymes, Phoebus J., Irwin Friend, N.Bulent Gultekin and Mustafa N. Gultekin (1985), "An Empirical Examination of the Implications of Arbitrage Pricing Theory", Journa.l of Banking and Finance 9, pp.73-99.
    [17] Diebold, Francis X. and Marc Nerlove (1989 ), "The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor ARCH Model", Journal of Applied Econometrics, Vol.4, pp.l-21.
    [18] Engle, Robert F ., Victor K. N g, Michael Rothschild (1990),"Asset Pricing With A FACTOR-ARCH Covariance Structure Empirical Estimates for Treasury Bills", Journal of Econometrics 45, pp.213-237.
    [19] Friedman, M. (1953), Essays In Positive Economics, CHICAGO:UNIVERSITY OF CHICAGO Press.
    [20] Grinblatt, Mark and Sheridan Titman (1983), "Factor Pricing in a Finite Economy", Journal of Financial Economics 12,pp.497-507.
    [21] Harvey, Andrew A. C. (1990), The Econometric Analysis of Time Series (2nd ed.), PHILIP ALLAN.
    [22] Huberman, Gur (1982), "A Simple Approach to Arbitrage Pricing Theory", Journal of Economic Theory, 28, pp.183-191.
    [23] Johnson, Richard A. and Dean W. Wichern, Applied Multivariate Statistical Analysis (2nd ed.), Prentice-Hall, Inc.
    [24] King, Mervyn, Enrique Sentana, Sushil Wadhwani (1990), "A Heteroscedastic Factor Model of Asset Returns and Risk Premia with Time-Varying Volatility: An Application to Sixteen World Stock Markets") NBER, INC. University Research Conference in Asset Pricing and Financial Markets.
    [25] Lehmann, Bruce N. and David M. Modest (1988), "The Empirical Foundations of the Arbitrage Pricing Theory", Journal of Financial Economics 21, pp.213-254.
    [26] McElroy, Marjorie B. and Edwin Burmeister (1988), "Arbitrage Pricing Theory as a Restricted Nonlinear Multivariate Regression Model", Journal of Business and Economic Statistics,Vo1.6, No.1, pp.29-42.
    [27] McElroy, Marjorie B., Edwin Burmeister and Kent D. Wall (1985), "Two Estima.tors For the APT Model When Factors Are Measured", Economics Letters 19, pp.271-275.
    [281 Merton, Robert C. (1990), "Capital Market Theory and the Pricing of Financial Securities", In Hanbook of Monetary Economics,Volume 1. Edited by Benjamin M. Friedman and Frank H. Hahn.
    [29] N g, Victor K., Robert F. Engle and Michael Rothschild (1992)," A multi- dynamic-factor model for stock returns", Journal of Econometrics 52, pp.245-266.
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    [31] Reinganum, Marc R. (1981)) "Empirical Test of Multi-Factor Pricing Model, The Arbitrage Pricing Theory: Some Empirical Results") Journal of Finance) Vo1.36, No.2.
    [32] Roll, Richard and Stephen Ross (1980), II An Empirical Investigation of the Arbitrage Pricing Theory") Journal of Finance,Vo1.35) No.5, pp.l073-1103.
    [33] Roll, Richard (1988), "R2", Journal of Finance, Vo1.43, No.2.
    [34] Ross, Stephen A. (1976), "The Arbitrage Theory of Capital Asset Pricing", Journal of Economic Theory, 13, pp.341-360.
    [35] Shanken, Jay (1982), "The Arbitrage Pricing Theory: Is it Testable ?", Journal of Finance, Vol. 37, No.5, pp.1129-1140.
    [36] Shukla, Ravi and Charles Trzcinka (1990), "Sequential Test of the Arbitrage Pricing Theory: A Comparison of Principal Components and Maximum Likelihood Factors", Journal of Finance,Vo1.45, No.5, pp.1541-1564.
    [37] Spanos, Aris (1986), Statistical Foudations of Econometric Modelling, CAMBRIDGE UNIVERSITY PRESS.
    [38] Trzcinka, Charles (1986), "On the Number of Factors in the Arbitrage Pricing Model" , Journal of Finance, Vol.41, No.2,pp.347-368.
    Description: 碩士
    Source URI: http://thesis.lib.nccu.edu.tw/record/#B2002004713
    Data Type: thesis
    Appears in Collections:[經濟學系] 學位論文

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