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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/38897Full metadata record
| ???org.dspace.app.webui.jsptag.ItemTag.dcfield??? | Value | Language |
|---|---|---|
| dc.contributor.advisor | 李存修 | |
| dc.contributor.author | Lai Yen-Ru | en |
| dc.contributor.author | 賴彥汝 | zh_TW |
| dc.date.accessioned | 2021-06-13T16:51:20Z | - |
| dc.date.available | 2007-07-04 | |
| dc.date.copyright | 2005-07-04 | |
| dc.date.issued | 2005 | |
| dc.date.submitted | 2005-06-22 | |
| dc.identifier.citation | 1. Cox, J.C., Ingersoll, J.E. and S.A. Ross(1985.a),”An Intertemporal General Equilibrium Model of Asset Prices.”, Econometric, Vol.53,p.p. 363-384.
2. Cox, J.C., Ingersoll, J.E. and S.A. Ross(1985.b),”Theory of the Term Structure of Interest Rate.”, Econometric, Vol.53,p.p.385-407. 3. McCulloch, J.H.(1971),” Measure the Term Structure of Interest Rates.”, Journal of Business, p.p. 19-31. 4. McCulloch, J.H.(1975),”The Tax-Adjusted Yield Curve. ”, Journal of Finance, Vol.31, p.p. 881-830. 5. Nelson,Charles R and Andrew F. Siegel(1987) ”Parsimonious Modeling of Yield Curves”,The Journal of Business,Vol.60,No.4, p.p. 473-P.489. 6. Papageorgiou,Nicolas. and Frank,S.Skinner.(2002) “Predicting the Direction of Interest Rate Movements.” The Journal of Fixed Income, p.p.87-95 7. Shea,Gary S.(1984) ”Pitfalls in Smoothing Interest Rate Term Structure Data:Equilibrium Models and Spline Approximations.” Journal of Financial and Quantitative Analysis .p.p.253- 269. 8. Shea, Gary S.(1985). ”Interest Rate Term Structure Estimation with Exponential Splines: A Note.” The Journal of Finance. p.p..319-325. 9. Vasicek, O.(1977),” An equilibrium Characterization of the Term Structure.”, Journal of Financial Economics, Vol.5, p.p.177-188 10. Vasicek ,Oldrich A. and H.Gifford Fong.(1982) ”Term Structure Modeling Using Exponential Splines.” The Journal of Finance, p.p..339-P.349.. 11. 賴曉璐(1996)，『政府公債殖利率曲線形狀與免疫策略的選擇』，國立台灣大學財務金融所碩士論文。 12. 陳書瀚(1997)，『利率期限結構共同因子數與其性質之研究』，國立台灣大學財務金融研究所未出版論文。 13. 沈中華(1998)，『影響台灣貨幣市場利率的三因子』，貨幣市場雙月刊，第12期，P.4-7。 14. 張千雲(2003)，『利率期限結構估計模型之實證研究』，管理學報。 15. 楊孟波(2002)，『利率期限結構變動下之債券投資組合免疫策略』，國立高雄第一科技大學財務管理所碩士論文。 16. 鍾韻琳(2003)，『流動性不足限制下利率期限結構之估計』，國立高雄第一科技大學財務管理所碩士論文。 17. 粘逸尊(2004)，『以邏輯迴歸模型建立之戰略性資產配置擇時交易策 略』，國立台灣大學財務金融研究所未出版之碩士論文。 | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/38897 | - |
| dc.description.abstract | 本研究以Nelson & Siegel為模型，利用高斯牛頓法迭代求解，估計台灣公債殖利率曲線。實證結果發現，此模型可捕捉市場上殖利率期限結構之形狀：正斜率帶駝峰狀，負斜率帶凹谷狀，以及單調遞增。此篇研究更是以台灣公債為資料，建構台灣公債交易之策略，以此探討台灣公債市場是否存有套利機會，並發現Nelson & Siegel模型可有效地估計台灣公債利率期限結構，並可視為債券交易策略背後之可靠工具。 | zh_TW |
| dc.description.abstract | This paper uses Nelson & Siegel model, the parsimonious model to fit the term structure in Taiwan bond market. We use the Newton-Gaussian method to estimate parameters of the yield curves. During the observation period, the estimated yield curve had various shapes. Nelson & Siegel model could describe the shapes of yield curves: monotonic, humped and S-shaped and is consistent with the real market. In addition, this paper will develop some trading strategies to examine whether Nelson & Siegel model could be a powerful tool to estimate the term structure interest rate in Taiwan bond market | en |
| dc.description.provenance | Made available in DSpace on 2021-06-13T16:51:20Z (GMT). No. of bitstreams: 1 ntu-94-R92723058-1.pdf: 394700 bytes, checksum: 02c6e38b6996b7b3a016aebbbef4713b (MD5) Previous issue date: 2005 | en |
| dc.description.tableofcontents | 1.Introduction……………………………………………………..1
1.1 Research Structure ………………………………………….4 2.Literature Review……………………………………………...5 3.Methodology……………………………………………………..9 3.1 ModelConstruction………………………………..........9 3.2 Gaussian-Newton Method………………………………………11 3.2.1 nonlinear regression………………………………………11 3.2.2 recursive method…………………………………………….12 4. Empirical results……………………………………………...15 4.1 Data sources……………………………………………….....15 4.2 Term structure estimation……………………………..…..15 4.3 Strategies return……………………………………………20 5.Conclusions……………………………………………………….30 Appendix A……………………………………………………………31 Appendix B……………………………………………………………33 References…………………………………..……………………40 | |
| dc.language.iso | en | |
| dc.title | 利率期限結構之估計與債券交易策略 | zh_TW |
| dc.title | Term Structure Fitting and Bond Trading Strategy | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 93-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 蔡錦堂,顏錫銘 | |
| dc.subject.keyword | 利率期限結構,高斯牛頓法,債券交易策略, | zh_TW |
| dc.subject.keyword | Yield Curve,Bond Strategy,Newton-Gaussian method, | en |
| dc.relation.page | 41 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2005-06-23 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
| Appears in Collections: | 財務金融學系 | |
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| File | Size | Format | |
|---|---|---|---|
| ntu-94-1.pdf Restricted Access | 385.45 kB | Adobe PDF |
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