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Title:	動態短期利率期限結構模型:臺灣票券市場之實證研究 Dynamic short-term structure model-A empirical study on Taiwanese Note Market
Authors:	方世明 Fang, Shi-Ming
Contributors:	林炯垚 Lin, Jiong-Yao 方世明 Fang, Shi-Ming
Keywords:	利率期限結構利率隨機過程貨幣市場二項分配模型票券
Date:	1996
Issue Date:	2016-04-28 11:52:12 (UTC+8)
Abstract:	本篇研究主要目的在於檢驗一般化一因子及二因子利率隨機過程模型何者對於臺灣貨幣市場利率變動行為模式最具解釋能力。再運用模型所求得之利率變動估計值及當期市場遠期利率，求解二項分配未來短期利率之各結點估計值，形成二項分配利率期限結構。由於二項分配利率期限結構為一任意形態之樹狀結構，且同時考量過去利率波動程度及市場對於未來之預期，故此一模型將可運用於對未來利率水準之預測或作為存續期間模型之折現率以改善利率風險衡量之理論限制。
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Description:	碩士國立政治大學財務管理研究所 83357011
Source URI:	http://thesis.lib.nccu.edu.tw/record/#B2002002994
Data Type:	thesis
Appears in Collections:	[Department of Finance] Theses

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