Reference: | 伏和靖(民國78年6月),「台灣地區貨幣市場利率期限結構之實證研究」,淡江大學金融研究所未出版碩士論文
李桐豪(民國87年),《台灣金融市場分析:公債、貨幣及股票市場之實證研究》,華泰文化總經銷
陳一正(民國84年6月),「一般均衡之利率期限結構-Vasicek一因子與二因子模型實證」,台灣大學財務金融研究所未出版碩士論文
陳松男(民國87年),《財務經濟學》,華泰文化經售
陳松男(民國91年),《金融工程學》,華泰文化經售
黃尹亭(民國83年6月),「台灣貨幣市場利率期限結構模型-SR和DSR模型適用性之比較分析」,淡江大學金融研究所未出版碩士論文
黃仁宗(民國83年6月),「利率變異性與期限結構-台灣貨幣市場之實證研究」,淡江大學金融研究所未出版碩士論文
謝劍平(民國88年),《固定收益證券投資與創新》,智勝文化出版
Bliss, R.R. and E.I. Ronn,(1989),〝Arbitrage-Based Estimation of Nonstationary Shifts in the Term Structure of Interest Rates,〞Journal of Finance,Vol. 44,pp. 591-610
Brennan, M.J. and E.S. Schwartz, (1978),〝Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims:A Synthesis,〞Journal of Financial and Quantitative Analysis,Vol.13,pp.462-474
Brigo, D. and F. Mercurio,(2001),Interest Rate Models : Theory and Practice,Berlin,New York,SpringerChan, K.C.,G.A. Karolyi,,F.A. Longstaff, and A.B. Sanders,(1992),〝An Empirical Comparison of Alternative Models of the Short-Term Interest Rate,〞Journal of Finance,Vol. 47,pp.1209-1227
Chapman, D.A. and N.D. Pearson (2001),〝Recent Advance in Estimating Term-Structure Models,〞Financial Analysts Journal,Vol.57,pp.77-95
Clewlow, L. and C. Strickland,(1998),Implementing Derivatives Models,John Wiley & Sons,N.Y.,N.Y.
Cox, J.C.,J.E. Ingersoll, and S.A. Ross,(1985a),〝An Intertemporal General Equilibrium Model of Asset Prices,〞Econometric,Vol.53,No.2,pp.363-384.
Cox, J.C.,J.E. Ingersoll,and S.A. Ross, (1985b),〝Theory of the Term Structure of Interest Rate,〞Econometrica,Vol.53,No.2,pp.385-407
Culbertson, J.M.(1957 November),〝The Term Structure of Interest Rates,〞Quarterly Journal of Economics,pp.458-517
Dothan, L.U.(1978),〝On the Term Structure of Interest Rates,〞The Journal of Finance,Vol. 31,pp. 1035-1065
Enders, W.(1995),Applied Econometric Time Series,John Wiley & Sons
Engle, R.F.,D.M. Lilien,and R.P. Robins, (1987),〝Estimating Time Varying Risk Premia In the Term Structure:the ARCH-M Model,〞Econometrica,Vol.55,pp.391-407
Fama, E.F. (1975),〝Short-Term Interest Rates as Predictors of Inflation,〞American Economic Review,Vol. 65,pp. 269-282
Fama, E.F. (1976),〝Forward Rates as Predictors of Inflation,〞Journal of Financial Economics,Vol. 3,pp.361-367
Fama, E.F.(1984),〝Term Premiums in Bond Returns,〞Journal of Financial Economics,Vol. 13,pp.529-546
Fabozzi(2000),The Handbook of Fixed Income Securities,McGraw-Hill
Fong, H.G. and O.A. Vasicek,(1992),〝Interest Rate Volatility as a Stochastic Factor,〞Manuscript.
Gibbons,M.R. and K. Ramaswary,(1993),〝A Test of the Cox、Ingersoll and Ross Model of the Term Structure,〞The Review of Financial Studies,Vol.6,No.3,pp.619-658
Greene, W. H.(2000),Econometric Analysis,4th ed.,Prentice-Hall Inc
Hamilton, J. D.(1994),Time Series Analysis,Princeton University Press
Hansen, Lars P.(1982),〝Large Sample Properties of Generalized Method of Moments Estimators,〞Econometrica,Vol.50,pp.1029-54.
Hansen, Lars P. and Singleton(1982),〝Generalizaed Insturmental Variables Estimation of nonlinerar Rational Expectations Models,〞Econometrica,Vol.50,pp.1269-1286
Heath, D.、R. Jarrow and A. Morton, (1992),〝Bond Pricing and the Term Structure of Interest Rates:A New Methodology for Contingent Claim Valuation,〞Econometrica,Vol.60,pp.77-105
Ho, T.S.Y. and S.B. Lee, (1986),〝Term Structure Movements and Pricing Interest Rate Contingent Claims,〞Journal of Financial,Vol.41,pp.1011-1029
Hong Yan(2001),〝Dynamic Models of the Term Structure,〞Financial Analysts Journal,Vol.57,pp.60-76
Hull, J. and A. White, (1993),〝One Factor Interest Rate Models and the Vaulation of Interest Rate Derivate Securities,〞Journal of Financial and Quantitative Analysis,Vol.28,pp.235-254
Hull, J. and, A. White,(1994a),〝Numerical Procedures for Implementing Term Structure Model I:Single-Factor Models,〞The Journal of Derivatives,Fall,pp.7-16
Hull, J. and A. White, (1994b),〝Numerical Procedures for Implementing Term Structure Model II:Two-Factor Models,〞The Journal of Derivatives,Winter,pp.37-48
Hull, John C.(1996),Options, Futures, & Other Derivatives,4th edition
Ingersoll, J.E.(1987),Theory of Financial Decision Making,Rowman & Littlefield,Savage M.D.
James, J. and N. Webber, (2000),Interest Rate Modelling,John Wiley and Sons,N.Y.,N.Y.
Jarrow, R.and S. Turnbull,(1996),Derivative Securities,South-Western
Jarrow, R.(1998),Volatility : new estimation techniques for pricing derivatives, London : Risk Books
Lee, B.S.(1989),〝A Nonlinear Expectations Model of The Term Structure of Interest Rates with Time-Varying Risk Premia,〞Journal of Money、Credit and Banking,Vol.21,pp.348-367
Longstaff, F.A.(1990),〝Time Varying Term Premia and Traditional Hypothesis about The Term Structure,〞Journal of Finance,Vol.45,pp.1307-1314
Longstaff, F.A. and E.S. Schwartz,(1992),〝Interest Rate Volatility and The Term Structure: A Two-Factor Generate Equilibrium Model,〞Journal of Finance,Vol.47,pp.1259-1282
Mankiw, N.G. and L.H. Summers,(1984),〝Do Long-Term Interest Rates Overreact to Short-Term Interest Rates,〞Brooking Papers on Economic Activity,Vol.1,pp.223-242
Mankiw, N.G. and J.A. Miron,(1986),〝The Changing Behavior of The Term Structure of Interest Rates,〞The Quarterly Journal of Economics,Vol.11,pp.211-228
Mankiw, N.G. and L.H. Summers, (1984),〝The Changing Behavior of The Term Structure of Interest Rates,〞The Quarterly Journal of Economics,Vol.11,pp.211-228
McCulloch, J.H.(1975),〝An Estimate of The Liquidity Premium,〞Journal of Political Economy,Vol.83,pp.95-119
McCulloch, J.H.(1987),〝The Monotonicity of The Premium:a closeer look,〞Journal of Financial Economics,Vol.18,pp.185-192
Merton, R.C.(1973),〝Theory of Rational Option Pricing,〞Bell Journal of Economics and Management Science,Vol.4,pp.141-183.
Merton, R.C. (1973),〝An Intertemporal Captial Asset Pricing Model,〞Econometrica,Vol.41,No.5,pp.385-407.
Merton, R.C.(1990),Continuous Time Finance, 2nd Edition, Blackwell, Cambridge M.A.
Modigiani, F. and R.J. Shiller,(1973),〝Inflation、Rational Expectations and The Term Structure of Interest Rates,〞Econometrica,Vol.40,pp.12-43.
Park, S.Y. and M.R. Reinganum,(1986),〝The Puzzling Price Behavior of Treasury Bills that Mature at the Turn of calendar months,〞Journal of Financial Economics,Vol.16,pp.267-283
Pesando, J.E.(1983),〝On Expectations,Term Premiums and The Volatility of Long-Term Interest Rates,〞Journal of Monetary Economics,Vol.12,pp.467-474
Richard, S.(1978),〝An Arbitrage Model of the Term Structure of Interest Rates,〞Journal of Financial Economics,Vol.6,pp.33-57
Roll, R.(1971),〝Investment Diversification and Bond Maturity,〞Journal of Finance,Vol.26,pp.51-66
Sargent, T.J.(1972),〝Rational Expectations and Bond Maturity,〞Journal of Money、Credit and Banking,Vol. 4 (1),pp.74-97
Sargent, T.J.(1979),〝A Note on Maximum Likelihood Estimation of The Rational Expectations Model,〞Journal of Monetary Economics,Vol.5,pp.133-143
Shiller, R.J.(1979),〝The Volatility of Long-Term Interest Rates and Expectations Models of The Term Structure,〞Journal of Political Economy,Vol.87,pp.1190-1219
Shiller, R.J.(1981),〝Alternative Tests of Rational Expectations Models,〞Journal of Econometric,Vol.16,pp.71-87
Simon, D.P.(1991),〝Segmentation in the Treasury Bill Market:Evidence from Cash Management Bills,〞Journal of Financial and Quantitative Analysis,Vol.26,pp.97-108
Sundersan, S.(1997),Fixed-Income Markets and Their Derivatives, South-Western
Tuckman, Bruce.(1996), Fixed Income Securities, Whiley
Vasicek, O.(1977),〝An Equilibrium Characterisation of the Term Structure,〞Journal of Financial Economics,Vol.5,pp.177-188
Van Horne, J.(1965),〝Interest-Rate Risk and The Term Structures of Interest Rates,〞Journal of Political Economy,Vol.73,pp.344-351 |