|
1. 管中閔, 統計學: 觀念與方法 (二版), 台北, 華泰書局, 2004. 2. Andersen, T. and B. Sorensen (1996), GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study, Journal of Business and Economic Statistics, 14,328–352. 3. Angrist, J., G. Imbens, and A. Krueger (1999), Jackknife Instrumental Variables Estimation, Journal of Applied Econometrics, 14, 57–67. 4. Altonji, J. and L. Segal (1996), Small Sample Bias in GMM Estimation of Covariance Structures, Journal of Business and Economic Statistics, 14, 353–366. 5. Brenner, R., R. Harjes, and K. Kroner (1996), Another Look at Models of the Short-Term Interest Rate, Journal of Financial and Quantitative Analysis, 31, 85–107. 6. Butler, J. S., and B. Schachter (1986), Unbiased Estimation of the Black-Scholes Formula, Journal of Financial Economics, 15, 341–357. 7. Chan, K., G. Karolyi, F. Longstaff, and A. Sanders (1992), An Empirical Comparison of Alternative Models of the Short-Term Rate, Journal of Finance, 47,1209–1227. 8. Chausse, P. (2010), Computing Generalized Method of Moments and Generalized Empirical Likelihood with R, Journal of Statistical Software, 34, 1–35. 9. Cox, J., J. Ingersoll, and S. Ross (1985), Theory of the Term Structure of Interest Rates, Econometrica, 53, 385–407. 10. Dell’Aquila, R., E. Ronchetti, and F. Trojani (2003), Robust GMM Analysis of Models for the Short Rate Process, Journal of Empirical Finance, 10, 373–397. 11. Donald, S. and W. Newey (2000), A Jackknife Interpretation of the Continuous Updating Estimator, Economics Letter, 67, 239–243. 12. Efron, B. (1982), The Jackknife, the Bootstrap, and Other Resampling Plans, Philadelphia: SIAM. 13. Hall, A. R. (2005), Generalized Method of Moments, New York: Oxford University Press. 14. Hamilton, J. D. (1994), Time Series Analysis, Princeton, NJ: Princeton University Press. 15. Hansen, L. P. (1982), Large Sample Properties of Generalized Methods of Moments Estimators, Econometrica, 50, 1029–1054. 16. Hansen, L. P., J. Heaton, and A. Yaron (1996), Finite-Sample Properties of Some Alternative GMM Estimators, Journal of Business and Economic Statistics, 14, 262–280. 17. Harvey, A. C., and N. Shephard (1996), Estimation of an Asymmetric Model of Asset Prices, Journal of Business and Economic Statistics, 14, 429–434. 18. Hull, J. (2000), Options, Futures, and Other Derivatives (2d ed.), NJ: Prentice-Hall. 19. Jagannathan, R., G. Skoulakis, and Z. Wang (2002) Generalized Method of Moments: Applications in Finance, Journal of Business and Economic Statistics, 20,470–481. 20. Knight, J., S. Satchell (1997), Existence of Unbiased Estimators of the Black-Scholes Option Price, Other Derivatives, and Hedge Ratios, Econometric Theory, 13, 791– 807. 21. Kuan, C.-M. (2011), Generalized Method of Moment Lecture Note, National Taiwan University, Taipei. 22. Lehmann, E. L. (1983), Theory of Point Estimation, New York: Wiley. 23. Newey, W., and R. Smith (2004), Higher Order Propertiew of GMM and Generalized Empirical Likelihood Estimators, Econometrica, 72, 219–255. 4324. Newey, W., and F. Windmeijer (2009), GMM with Many Weak Moment Conditions: Replication and application, Journal of Applied Econometrics, 27, 791–807. 25. Phillips, P. C. B. and J. Yu (2005), Jackknifing Bond Option Prices, Review of Financial Studies , 18, 707–742. 26. Quenouille, M. (1956), Notes on Bias in Estimation, Biometrika, 43, 353–360. 27. Sheppard, K. (2012), Financial Econometrics Notes, University of Oxford, Oxford. 28. Shao, J., and D. Tu (1995), The Jackknife and the Bootstrap, New York: Springer. 29. Shao, J. and C. F. J. Wu (1989), A General Theory for Jackknife Variance Estimation, Annals of Statistics, 17, 1176–1197. 30. Stock, J. and J. Wright (2000), Gmm with Weak Identifcation, Econometrica, 68,1055–1096. 31. Taylor, S. (1982), Financial Returns Modelled by the Product of Two Stochastic Processes - A Study of Daily Sugar Prices 1961–1979, Time Series Analysis: Theory and Practice, 1,203 - 226. 32. Tukey, J. W. (1958), Bias and Confidence in Not Quite Large Samples, Annals of Mathematical Statistics, 29, 343–346.
|