Please use this identifier to cite or link to this item: https://ah.lib.nccu.edu.tw/handle/140.119/137063
題名: 美國股票與公債市場戰略性投資輪轉策略-動態 Logit 模型的應用
Tactical Rotation Strategy of Stock and Government Bond Markets in the United States: An Application of Dynamic Logit model
作者: 盧博廉
Lu, Bo-Lian
貢獻者: 徐士勛
Hsu, Shih-Hsun
盧博廉
Lu, Bo-Lian
關鍵詞: 股票與公債輪轉
戰略式投資策略
股債熊牛市機率
Logit 模型
ROC 曲線
Lasso Logistic Regression
日期: 2021
上傳時間: 2-九月-2021
摘要: 本文研究美國股票與公債市場戰略式投資輪轉策略。首先,本文修 改 Pagan and Sossounov (2003) 提出的規則,將股票與公債認定成三 種不同的週期,分別為「月報酬方向」、「短週期趨勢」、「長週期 趨勢」。實證方面則是採用遞迴法,每期均會使用 ADF 檢定與 Lasso Logistic Regression 重新篩選一次變數,最後再使用 Logit 模型進行機 率估計。樣本外投資績效方面,本文發現三種模型均顯著優於大盤表 現,其中「短週期模型」所得到的績效表現最佳。另外,本文也發現 三種模型在不同期間選擇的變數均不盡相同,顯示相對於傳統方法, 採用遞迴選取變數法,不但可以看出三個模型所採用的變數均不相 同,並且每一個變數在不同時間下,對於股債項牛市機率也有不同的 預估能力。
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描述: 碩士
國立政治大學
經濟學系
108258016
資料來源: http://thesis.lib.nccu.edu.tw/record/#G0108258016
資料類型: thesis
Appears in Collections:學位論文

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