金融大數據之應用 :  Hawkes相互激勵模型於跨市場跳躍傳染現象之實證分析

簡宇澤; Chien, Yu Tse

Please use this identifier to cite or link to this item: https://ah.lib.nccu.edu.tw/handle/140.119/111748

DC Field	Value	Language
dc.contributor.advisor	林士貴	zh_TW
dc.contributor.advisor	Lin, Shih Kuei	en_US
dc.contributor.author	簡宇澤	zh_TW
dc.contributor.author	Chien, Yu Tse	en_US
dc.creator	簡宇澤	zh_TW
dc.creator	Chien, Yu Tse	en_US
dc.date	2017	en_US
dc.date.accessioned	2017-08-10T01:47:32Z	-
dc.date.available	2017-08-10T01:47:32Z	-
dc.date.issued	2017-08-10T01:47:32Z	-
dc.identifier	G1043520341	en_US
dc.identifier.uri	http://nccur.lib.nccu.edu.tw/handle/140.119/111748	-
dc.description	碩士	zh_TW
dc.description	國立政治大學	zh_TW
dc.description	金融學系	zh_TW
dc.description	104352034	zh_TW
dc.description.abstract	本研究使用美國、德國、英國股票指數期貨之日內交易資料，從報酬率中分離出連續波動度與跳躍項，再以MLE法估計Hawkes相互激勵過程之參數，衡量跨市場跳躍傳染現象。擴展文獻中僅兩市場的分析至三市場模型，更能從整體的角度解釋市場間的關係及跳躍傳染途徑。實證結果顯示，美國能直接影響其他市場，而其他市場反過來不易干涉美國，呈現非對稱影響效果。歐洲兩國能互相傳染，英國對德國的影響較大，也更有能力影響美國，稱英國為歐洲的影響輸出國，德國為歐洲的影響輸入國。	zh_TW
dc.description.tableofcontents	第一章緒論1\n第二章文獻回顧 3\n2.1 相互激勵Hawkes過程 3\n2.2 跳躍偵測 3\n2.3 金融傳染 4\n第三章研究目的 5\n第四章研究方法 6\n4.1 衡量連續波動與偵測跳躍項 6\n4.2 相互激勵過程 9\n4.3 最大概似估計 11\n第五章實證分析 15\n5.1 實證資料 15\n5.2 資料處理 15\n5.3 敘述統計 15\n5.4 參數估計結果 24\n5.4.1 單變量模型 24\n5.4.2 雙變量模型 26\n5.4.3 三變量模型 27\n第六章結論與建議 31\n參考文獻 32	zh_TW
dc.format.extent	1035445 bytes	-
dc.format.mimetype	application/pdf	-
dc.source.uri	http://thesis.lib.nccu.edu.tw/record/#G1043520341	en_US
dc.subject	跳躍風險	zh_TW
dc.subject	金融傳染	zh_TW
dc.subject	Hawkes過程	zh_TW
dc.subject	自我激勵過程	zh_TW
dc.subject	相互激勵過程	zh_TW
dc.subject	Jump risk	en_US
dc.subject	Financial contagion	en_US
dc.subject	Hawkes process	en_US
dc.subject	Self-exciting process	en_US
dc.subject	Mutually-exciting process	en_US
dc.title	金融大數據之應用 : Hawkes相互激勵模型於跨市場跳躍傳染現象之實證分析	zh_TW
dc.title	Empirical Analysis on Financial Contagion using Hawkes Mutu-ally Exciting Model	en_US
dc.type	thesis	en_US
dc.relation.reference	[1] Aït-Sahalia, Y., Cacho-Diaz, J., & Laeven, R. J. (2015). Modeling financial con-tagion using mutually exciting jump processes. Journal of Financial Econom-ics, 117(3), 585-606.\n[2] Aït-Sahalia, Y., Laeven, R. J., & Pelizzon, L. (2014). Mutual excitation in Euro-zone sovereign CDS. Journal of Econometrics, 183(2), 151-167.\n[3] Andersena, T. G., Bollerslevb, T., & Dieboldc, F. X. (2005). Some Like it Smooth, and Some Like it Rough: Disentangling Continuous and Jump Compo-nents in Measuring.\n[4] Barndorff-Nielsen, O. E., & Shephard, N. (2004). Power and bipower variation with stochastic volatility and jumps. Journal of Financial Econometrics, 2(1), 1-37.\n[5] Barndorff-Nielsen, O. E., & Shephard, N. (2006). Econometrics of testing for jumps in financial economics using bipower variation. Journal of Financial Econometrics, 4(1), 1-30.\n[6] Hawkes, A. G. (1971). Spectra of some self-exciting and mutually exciting point processes. Biometrika, 58(1), 83-90.\n[7] Huang, X., & Tauchen, G. (2005). The relative contribution of jumps to total price variance. Journal of Financial Econometrics, 3(4), 456-499.\n[8] Ozaki, T. (1979). Maximum likelihood estimation of Hawkes` self-exciting point processes. Annals of the Institute of Statistical Mathematics, 31(1), 145-155.\n[9] Vere-Jones, D. (1970). Stochastic models for earthquake occurrence. Journal of the Royal Statistical Society. Series B (Methodological), 1-62.	zh_TW
item.grantfulltext	open	-
item.openairecristype	http://purl.org/coar/resource_type/c_46ec	-
item.fulltext	With Fulltext	-
item.openairetype	thesis	-
item.cerifentitytype	Publications	-
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