Reference: | [1] 李杰恩(2016),利差交易之波動風險-簡單移動平均之應用,國立政治大學,國際經營與貿易學系研究所碩士學位論文。 [2] 葉柏宏(2016),外匯干預下的新台幣利差交易策略:匯率基本面的經濟價值,國立政治大學,國際經營與貿易學系研究所碩士學位論文。 [3] Aas, K., & Haff, I. H. (2006). The generalized hyperbolic skew student’s t-distribution. Journal of financial econometrics, 4(2), 275-309. [4] Asness, C. S., Moskowitz, T. J., & Pedersen, L. H. (2013). Value and momentum everywhere. The Journal of Finance, 68(3), 929-985. [5] Bakshi, G., & Panayotov, G. (2013). Predictability of currency carry trades and asset pricing implications. Journal of Financial Economics, 110(1), 139-163. [6] Bhansali, V. (2007). Volatility and the carry trade. The Journal of Fixed Income, 17(3), 72-84. [7] Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of econometrics, 31(3), 307-327. [8] Burnside, C., Eichenbaum, M., Kleshchelski, I., & Rebelo, S. (2006). The returns to currency speculation (No. w12489). National Bureau of Economic Research. [9] Christiansen, C., Ranaldo, A., & Söderlind, P. (2011). The time-varying systematic risk of carry trade strategies. Journal of Financial and Quantitative Analysis, 46(04), 1107-1125.
[10] Clarida, R., Davis, J., & Pedersen, N. (2009). Currency carry trade regimes: Beyond the Fama regression. Journal of International Money and Finance, 28(8), 1375-1389. [11] Daniel, K., Hodrick, R. J., & Lu, Z. (2014). The carry trade: Risks and drawdowns (No. w20433). National Bureau of Economic Research. [12] Hansen, B. E. (1994). Autoregressive conditional density estimation. International Economic Review, 705-730. [13] Lettau, M., Maggiori, M., & Weber, M. (2014). Conditional risk premia in currency markets and other asset classes. Journal of Financial Economics, 114(2), 197-225. [14] Lustig, H., Roussanov, N., & Verdelhan, A. (2008). Common risk factors in currency markets (No. w14082). National Bureau of Economic Research. [15] Menkhoff, L., Sarno, L., Schmeling, M., & Schrimpf, A. (2012). Currency momentum strategies. Journal of Financial Economics, 106(3), 660-684. [16] Massacci, D. (2014). A two-regime threshold model with conditional skewed Student t distributions for stock returns. Economic Modelling, 43, 9-20. [17] Sarno, L., Schneider, P., & Wagner, C. (2012). Properties of foreign exchange risk premiums. Journal of Financial Economics, 105(2), 279-310. |