政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/69547
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文笔数/总笔数 : 113648/144635 (79%)
造访人次 : 51584006      在线人数 : 849
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜寻范围 查询小技巧：
  • 您可在西文检索词汇前后加上"双引号"，以获取较精准的检索结果
  • 若欲以作者姓名搜寻，建议至进阶搜寻限定作者字段，可获得较完整数据
    •  进阶搜寻


    请使用永久网址来引用或连结此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/69547


    题名: 外匯市場風險溢酬訂價模型與MARKOV狀態變換
    其它题名: Pricing Foreign Exchange Risk Premium and Markov Switching Model.
    作者: 沈中華
    贡献者: 銀行學系
    关键词: 風險溢價;Markov狀態變換;外匯市場
    Risk premium;Markvo switching;Foreign exchange market
    日期: 1997
    上传时间: 2014-09-02 09:00:40 (UTC+8)
    摘要: This paper examines whether the foreign exchange-equity risk premium are supported by the US and its major five foreign countries or not. The paper contains three parts. First, we argue that Chiang`s (1991) and MP`s (1997) results are misleading owing to the incorrect scaling method adopted. When correct scaling method is applied, the results are not favorable to the hypothesis.< Next, the time-varying parameters approach is conducted. Though parameters vary, the varying ranges are small. Results are again not supportive. The final model is based on the Markov switching model. Judging from the results from Markov Switching model, though the exchange-equity risk premium hypothesis are not supported for the most of the time, it is not wholly rejected. For some periods of time, the hypothesis cannot be rejected.<
    關聯: 行政院國家科學委員會
    計畫編號NSC86-2415-H004-010
    数据类型: report
    显示于类别:[金融學系] 國科會研究計畫

    文件中的档案:

    档案 描述 大小格式浏览次数
    index.html0KbHTML21275检视/开启


    在政大典藏中所有的数据项都受到原著作权保护.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - 回馈