Please use this identifier to cite or link to this item: https://ah.lib.nccu.edu.tw/handle/140.119/35813
題名: 多變量動態因子隨機波動模型-美,日,台股市報酬率之研究
作者: 邱顯一
貢獻者: 鍾經樊
邱顯一
關鍵詞: 多變量隨機波動模型
蒙地卡羅馬可夫鏈
因子分析
Multivariate Stochastic Volatility
Markov Chain Monte Carlo
Factor Analysis
日期: 2006
上傳時間: 18-Sep-2009
摘要: 本文採用 Chib, Nardari, 與 Shephard(2006) 的多變量動態因子隨機波動模型(MSV), 來探討美、日、台三國的資訊、電腦類股股價報酬率波動的共同行為。 我們將模型中的因子解釋為產業的前景或信心,並藉由模擬的方式描繪出其樣貌,進而希望了解產業景氣循環在股價的波動行為中扮演什麼角色。 研究財務市場間的關聯性一值是一項重要的課題,也發展出各種的模型來描述既有的現象。 MSV 模型將看不到的解釋變量數量化,並將變數的波動行為切割為可由因子所解釋與不能解釋的部分。 且藉由將觀察值的誤差項以及單一因子的波動行為設定為隨機波動,放寬共變數變異數矩陣為定值的假設,讓每一時點都能依時變動,在同類的模型中對資料的設定是較少的。 在實證分析中我們有幾點發現:1. 因子能夠解釋資產間的波動行為,其反映在扣除因子波動之後的自有波動,其波動水準值的降低。 2. 在股價波動劇烈期間,因子解釋能力提高。 3. 因子的解釋能力在不同的國家中差異幅度很大,日本有超過一半的波動可以為因子的波動所解釋,而因子在台灣股價的波動行為只有兩成左右的解釋能力。
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描述: 碩士
國立政治大學
經濟研究所
93258016
95
資料來源: http://thesis.lib.nccu.edu.tw/record/#G0932580162
資料類型: thesis
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