Please use this identifier to cite or link to this item:
https://ah.lib.nccu.edu.tw/handle/140.119/35813
DC Field | Value | Language |
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dc.contributor.advisor | 鍾經樊 | zh_TW |
dc.contributor.author | 邱顯一 | zh_TW |
dc.creator | 邱顯一 | zh_TW |
dc.date | 2006 | en_US |
dc.date.accessioned | 2009-09-18T08:06:28Z | - |
dc.date.available | 2009-09-18T08:06:28Z | - |
dc.date.issued | 2009-09-18T08:06:28Z | - |
dc.identifier | G0932580162 | en_US |
dc.identifier.uri | https://nccur.lib.nccu.edu.tw/handle/140.119/35813 | - |
dc.description | 碩士 | zh_TW |
dc.description | 國立政治大學 | zh_TW |
dc.description | 經濟研究所 | zh_TW |
dc.description | 93258016 | zh_TW |
dc.description | 95 | zh_TW |
dc.description.abstract | 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。 | zh_TW |
dc.description.tableofcontents | 目錄\n緒論-------------------------------------------------------1\n文獻回顧----------------------------------------------------3\n因子隨機波動模型---------------------------------------------8\n模型估計---------------------------------------------------10\n實證結果---------------------------------------------------21\n結論建議---------------------------------------------------30\n附錄------------------------------------------------------31\n參考書目--------------------------------------------------40 | zh_TW |
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dc.format.mimetype | application/pdf | - |
dc.format.mimetype | application/pdf | - |
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dc.format.mimetype | application/pdf | - |
dc.format.mimetype | application/pdf | - |
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dc.format.mimetype | application/pdf | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | en_US | - |
dc.source.uri | http://thesis.lib.nccu.edu.tw/record/#G0932580162 | en_US |
dc.subject | 多變量隨機波動模型 | zh_TW |
dc.subject | 蒙地卡羅馬可夫鏈 | zh_TW |
dc.subject | 因子分析 | zh_TW |
dc.subject | Multivariate Stochastic Volatility | en_US |
dc.subject | Markov Chain Monte Carlo | en_US |
dc.subject | Factor Analysis | en_US |
dc.title | 多變量動態因子隨機波動模型-美,日,台股市報酬率之研究 | zh_TW |
dc.type | thesis | en |
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item.openairetype | thesis | - |
item.fulltext | With Fulltext | - |
item.languageiso639-1 | en_US | - |
item.openairecristype | http://purl.org/coar/resource_type/c_46ec | - |
item.cerifentitytype | Publications | - |
item.grantfulltext | open | - |
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