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https://ah.lib.nccu.edu.tw/handle/140.119/88684| 題名: | 外匯市場非線型時間序列之實證研究 --自迴歸條件異質變異數與類神經網路模式分析法 A Non-linear Series Analysis of Foreign Market --An ARCH and Neural Approach |
作者: | 葉俊雄 Yeh, Jiunn Shyong |
貢獻者: | 毛維凌 Mao, Wei Ling 葉俊雄 Yeh, Jiunn Shyong |
關鍵詞: | 隨機漫步模式 確定混沌體系 類神經網路 倒傳遞網路模式非線型時間序列模式 自迴歸條件異質變異數模式 Network Non-Linear Time Series ARCH Forecasting |
日期: | 1993 | 上傳時間: | 29-Apr-2016 | 摘要: | 學界間廣泛地認為一般金融資產報酬具有的特性是:線型不可預測性,條件 | 參考文獻: | [1J 毛維凌[民80]，“從方法論看非線型動態經濟模型\"，政治大學經濟所演\r\n講稿。\r\n[2] 何祖平[民80]，“多元自迴歸條件異質變異數模型一主要國際貨幣間關\r\n聯性之研究\"，政治大學國際貿易研究所碩士論文。\r\n[3] 吳柏林，劉文卿，陳奕光[民81 ]，“隨機模式與混沌模式立預測穩健性探\r\n討\"中國統計學報，第30 卷第2 期， 169-189 頁。\r\n[4] 莊委桐[民81]，“非線型動態模型檢定與在總體經濟模型之應用\"政治\r\n大學經濟研究所碩士論文。\r\n[5J 許怡隆[民78]，“外匯市場風險性溢價之探討一異質條件變異數分析法\r\n之研究\"政治大學國際貿易研究所碩士論文。\r\n[6] 葉怡成[民82]，“顯神經網路模式應用與實作\"儒林圖書公司。\r\n[7] 張淑玲[民80]，“總體時間數列非恆定性之研究\"，政治大學國際貿易研\r\n究所碩士論文。\r\n\r\n\r\n[1]Ashley,R.A., Patterson, D.M. and Hinich,M.J.(1986),”A Diagnostic Test for Nonlinear Serial Dependence in Time Series Fitting Errors”, Journal of Time Series Analysis, Vol.7,No.3, 165-178.\r\n[2]Ashley, R.A. and Patterson, D.M.(1989),”Linear Versus Nonlinear Macroeconomics: A Statistical Test” ,International Economic Review, Vol.30, No.3, 685-706.\r\n[3]Baillie, R.T. and Boolerslev, T.(1989), “The Message in Daily Exchange Rates: A Conditional –Variance Tale”, Journal of Business and Economic Statistics, Vol.7,No.3, 297-305.\r\n[4]Baillie,R.T. and .McMahon,P.C.(1989), The Foreign Exchange Market: Theory and Econometric Evidence, Cambridge University Press.\r\n[5]Bollerslev, T.(1986), “Generalized Autoregressive Conditional Heteroskedasticity”,Journal of Econometrics, Vol.31,307-327.\r\n[6]Brock, W.A(1987),”Notes on Nuisance Parameter Problems in BDS Type Tests for IID”,working paper, University of Wisconsin-Madison.\r\n[7]Brock,W.A.,Dechert,W.D. and Scheinkman, J.A.(1987),”A Test for Independence Based on the Correlation Dimension”, unpublished manuscript,University of Wisconsin-Madison.\r\n[8]Brock,W.A., Hsieh,D.A. and LeBaron,B.(1991), Nonlinear Dynamics, Chaos, and Instability: Statistical Theory and Economic Evidence, MIT Press.\r\n[9]Brock, W.A. and Sayers, C.L.(1988),”Is the Business Cycle Characterized by Deterministic Chaos”,Journal of Monetary Ecxonomics, Vol.22, 71-90.\r\n[10]Brockett, P.L., Hinich,M.J. and Patterson, D.(1988),”Bispectral-Based Tests for the Detection of Gaussianity and Linearity in Time Series”, Journal of the American Statistical Association, Vol.83,No.403, 657-664.\r\n[11]Cao,C.Q. and Tsay, R.S.(1992), “Nonlinear Time Series Analysis of Stock Volatilities”, Journal of Applied Econometrics, Vol.7, 165-185.\r\n[12]Cryer,J.D.(1986),Time Series Analysis, PWS Publishers.\r\n[13]Davies,N. and Petruccelli,J.D.(1986),”Detecting Non – linearity in Time Series”, The Statistician, Vol.35, 271-280.\r\n[14]Dechert, W.(1987),”A Program to Calculate BDS Statistics for the IBM PC”,Technical paper, Department of Economics, The University of Houston.\r\n[15]Dickey,D.A. and Fuller, W.A.(1979).”Distribution of the Estimators for Autoregressive Time Series With a Unit Root”, Journal of the American Statistical Association, Vol.74, 427-431.\r\n[16]Dickey,D.A. and Fuller,W.A.(1981),”Likelihood Ratio Statistics for Autoregressive Time Series With a Unit Root”, Econometrica, Vol.49,No.4, 1057-1072.\r\n[17]Diebold,F.X.(1988),”Empirical Modeling of Exchange Rate Dynamics”, Lecture Notes in Economics and Mathematical System 303, Spring-Verlag published.\r\n[18]Diebold,F.X. and Nerlove, M.(1989),”The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor ARCH Model” , Journal of Applied Econometrics, Vol.4, 1-21.\r\n[19]Diebold, F.X. and Nason J.A (1990),”Nonparametric Exchange Rate Prediction?”,Journal of International Economics, Vol. 28, 315-332.\r\n[20]Engle, R.F.(1982),”Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation”, Econometrica, Vol.50, No.4, 987-1007.\r\n[21]Engle, R.F. and Bollerslev,T.(1986),”Modelling the Persistence of Conditional Variances”, Econometric Reviews.Vol.5, No.1, 1-50.\r\n[22]Engle,R.F.,Lilien,D.M. and Robins,R.P.(1987),”Estimating Time Varying Risk Premia in the Term Structure:The ARCH-M Model”,Econometrica, Vol.55, No.2, 391-407.\r\n[23]Fama,E.F.(1965),”The Behavior of Stock Market Prices”, Journal of Business, Vol.38,34-105.\r\n[25]Freeman,J.A. and Skapura, D.M.(1991),Neural Networks: Algorithms,Applications, and Programming Techniques, Addison-Wesley Publishing Company.\r\n[26]Funahashi,K.(1989),”On the Approximate Realization of Continuous Mappings by Neural Networks”, Neural Networks, Vol.2, No.3, 183-192.\r\n[27]Gooijer, J.D.E. and Kumar,K.(1992),”Some Recent Developments in Nonlinear Time Series Modelling, Testing, and Forecasting”, International Journal of Forecasting, Vol.8, 135-156.\r\n[28]Granger, C.W.J.(1991),”Developments in the Nonlinear Analysis of Economic Series”,Scand.Journal of Economics, Vol.93, No.2, 263-276.\r\n[29]Gujarati,D.N.(1988),Basic Econometrics, McGraw-Hill Book Company\r\n[30]Hecht-Nielsen, R. 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資料來源: | http://thesis.lib.nccu.edu.tw/record/#B2002004218 | 資料類型: | thesis |
| Appears in Collections: | 學位論文 |
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