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https://ah.lib.nccu.edu.tw/handle/140.119/89873| DC Field | Value | Language |
|---|---|---|
| dc.contributor.advisor | 林祖嘉 | zh_TW |
| dc.contributor.author | 廖志強 | zh_TW |
| dc.contributor.author | LIAO, ZHI-QIANG | en_US |
| dc.creator | 廖志強 | zh_TW |
| dc.creator | LIAO, ZHI-QIANG | en_US |
| dc.date | 1992 | en_US |
| dc.date | 1991 | en_US |
| dc.date.accessioned | 2016-05-02T09:11:45Z | - |
| dc.date.available | 2016-05-02T09:11:45Z | - |
| dc.date.issued | 2016-05-02T09:11:45Z | - |
| dc.identifier | B2002004713 | en_US |
| dc.identifier.uri | http://nccur.lib.nccu.edu.tw/handle/140.119/89873 | - |
| dc.description | 碩士 | zh_TW |
| dc.description | 國立政治大學 | zh_TW |
| dc.description | 經濟學系 | zh_TW |
| dc.description.tableofcontents | 第一章 緒論………………………..1\r\n1.1研究動機與目的………………………..1\r\n1.2 研究大綱………………………..2\r\n第二章 APT的基本模型………………………..4\r\n2.1 Ross` APT………………………..4\r\n2.2 APT的均衡模型………………………..10\r\n2.3 傳統實證模型的設定與限制………………………..11\r\n第三章 因素的確認與經濟意義--A NEW APPROACH………………………..23\r\n3.1 聯立多元時間序列模型………………………..23\r\n3.2 因素的確認………………………..27\r\n第四章 實證模型與實證結果分析………………………..30\r\n4.1 實證模型與估計方法………………………..30\r\n4.2 向量自我迴歸模型估計與因素的萃取………………………..31\r\n4.3 聯立模型估計與實證結果分析………………………..32\r\n第五章 結論與建議………………………..39\r\n附錄………………………..41\r\n參考文獻………………………..42 | zh_TW |
| dc.source.uri | http://thesis.lib.nccu.edu.tw/record/#B2002004713 | en_US |
| dc.title | 套利定價理論與VAR模型之聯合估計 : 以台灣外匯市場為例 | zh_TW |
| dc.type | thesis | en_US |
| dc.relation.reference | [1] 汪義芳(1985) ， 74 年中國經濟學會年會論文集。\r\n[2] Beenstock, Michael and Kam-Fai Chan (1986), \"Testing the Arbitrage Pricing Theory in the United Kingom\", Oxford Bulletin of Economics and Statistics 48 , No.2.\r\n[3] Beenstock, Michael and Kam-Fai Chan (1988), \"Economic Forces In the London Stock Market\", Oxford Bulletin of Economics and Statistics 50, No.1.\r\n[4] Bera, A. K. and C. M. Jarque (1981), \"An Efficient Large Sample Test for Normality of Observations and Regression Residuals\", Australian National University working papers in Econometrics No.40, Canberra.\r\n[5] Berry, Michael A., Ed win Burmeister and McElroy B. Marjorie (1988), \" Sorting Out Risk Using Known APT factors\", Financial Analyst Journal/March-April, pp.29-42.\r\n[6] Brown, S. J. and M. 1. Weinstein (1983), \"A New Approach to Testing Asset Pricing Models: The Bilinear Paradigm\", Journal of Finance 38, pp.711-744.\r\n[7] Burmeister, Edwin and Marjorie B. McElroy (1988), \"Joint Estimation of Factor Sensitivities and Risk Premia for the Arbitrage Pricing Theory\" , Journal of Finance, Vo1.43, No.3,pp.721-735 .\r\n[8] Chamberlain, Gary & Michael Rothschild (1983), \"Arbitrage,Factor Structure, and Mean-Variance Analysis on Large Asset Markets\", Econometrica., Vol.51, No.5, pp.1281-1304.\r\n[9] Chen, Nai-Fu (1983), \"Some Empirical Test of the Theory of Arbitrage Pricing\" , Journal of Finance, Vol. 38, No.5.\r\n[10] Chen, Nai-Fu, Richard Roll, and Stephen A. Ross (1986), \"Economic Force and the Stock Market\", Journal of Business,Vol.59,No.3.\r\n[11] Connor, Gregory (1984), \"A Unified Beta Pricing Theory\",Journal of Economic Theory 34, pp.13-31.\r\n[12] Connor, Gregory (1988), \"Note on the Arbitrage Pricing Theory\",In Theory of Valuation, Frontiers of Morden Finanfial Theory,Volume 1. Edited by Sudipto Bhattacharya and George M. Constantinides.\r\n[13] Conway, Delores A. and Marc R Reinganum (1988), \"Stable Factors in Security Returns: Identification Using CrossValidation\",Journal of Business and Economic Statistics, Vo1.6,No.1, pp.1-28.\r\n[14] Cramer, J. S. (1989), Econometric applications of Maximum Likelihood methods, CAMBRIDGE UNIVERSITY PRESS.\r\n[15] Dhrymes, Phoebus J., Irwin Friend, and N.Bulent Gultekin (1984), \" A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory\", Journal of Finance, Vo1.34,No.2, pp .323-3S0.\r\n[16] Dhrymes, Phoebus J., Irwin Friend, N.Bulent Gultekin and Mustafa N. Gultekin (1985), \"An Empirical Examination of the Implications of Arbitrage Pricing Theory\", Journa.l of Banking and Finance 9, pp.73-99.\r\n[17] Diebold, Francis X. and Marc Nerlove (1989 ), \"The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor ARCH Model\", Journal of Applied Econometrics, Vol.4, pp.l-21.\r\n[18] Engle, Robert F ., Victor K. N g, Michael Rothschild (1990),\"Asset Pricing With A FACTOR-ARCH Covariance Structure Empirical Estimates for Treasury Bills\", Journal of Econometrics 45, pp.213-237.\r\n[19] Friedman, M. (1953), Essays In Positive Economics, CHICAGO:UNIVERSITY OF CHICAGO Press.\r\n[20] Grinblatt, Mark and Sheridan Titman (1983), \"Factor Pricing in a Finite Economy\", Journal of Financial Economics 12,pp.497-507.\r\n[21] Harvey, Andrew A. C. (1990), The Econometric Analysis of Time Series (2nd ed.), PHILIP ALLAN.\r\n[22] Huberman, Gur (1982), \"A Simple Approach to Arbitrage Pricing Theory\", Journal of Economic Theory, 28, pp.183-191.\r\n[23] Johnson, Richard A. and Dean W. Wichern, Applied Multivariate Statistical Analysis (2nd ed.), Prentice-Hall, Inc.\r\n[24] King, Mervyn, Enrique Sentana, Sushil Wadhwani (1990), \"A Heteroscedastic Factor Model of Asset Returns and Risk Premia with Time-Varying Volatility: An Application to Sixteen World Stock Markets\") NBER, INC. University Research Conference in Asset Pricing and Financial Markets.\r\n[25] Lehmann, Bruce N. and David M. Modest (1988), \"The Empirical Foundations of the Arbitrage Pricing Theory\", Journal of Financial Economics 21, pp.213-254.\r\n[26] McElroy, Marjorie B. and Edwin Burmeister (1988), \"Arbitrage Pricing Theory as a Restricted Nonlinear Multivariate Regression Model\", Journal of Business and Economic Statistics,Vo1.6, No.1, pp.29-42.\r\n[27] McElroy, Marjorie B., Edwin Burmeister and Kent D. Wall (1985), \"Two Estima.tors For the APT Model When Factors Are Measured\", Economics Letters 19, pp.271-275.\r\n[281 Merton, Robert C. (1990), \"Capital Market Theory and the Pricing of Financial Securities\", In Hanbook of Monetary Economics,Volume 1. Edited by Benjamin M. Friedman and Frank H. Hahn.\r\n[29] N g, Victor K., Robert F. Engle and Michael Rothschild (1992),\" A multi- dynamic-factor model for stock returns\", Journal of Econometrics 52, pp.245-266.\r\n[30] Pindyck, Robert S. and Julio J. Rotemberg (1990), \"Do Stock Prices Move Together Too Much\", NBER working paper No.3324.\r\n[31] Reinganum, Marc R. (1981)) \"Empirical Test of Multi-Factor Pricing Model, The Arbitrage Pricing Theory: Some Empirical Results\") Journal of Finance) Vo1.36, No.2.\r\n[32] Roll, Richard and Stephen Ross (1980), II An Empirical Investigation of the Arbitrage Pricing Theory\") Journal of Finance,Vo1.35) No.5, pp.l073-1103.\r\n[33] Roll, Richard (1988), \"R2\", Journal of Finance, Vo1.43, No.2.\r\n[34] Ross, Stephen A. (1976), \"The Arbitrage Theory of Capital Asset Pricing\", Journal of Economic Theory, 13, pp.341-360.\r\n[35] Shanken, Jay (1982), \"The Arbitrage Pricing Theory: Is it Testable ?\", Journal of Finance, Vol. 37, No.5, pp.1129-1140.\r\n[36] Shukla, Ravi and Charles Trzcinka (1990), \"Sequential Test of the Arbitrage Pricing Theory: A Comparison of Principal Components and Maximum Likelihood Factors\", Journal of Finance,Vo1.45, No.5, pp.1541-1564.\r\n[37] Spanos, Aris (1986), Statistical Foudations of Econometric Modelling, CAMBRIDGE UNIVERSITY PRESS.\r\n[38] Trzcinka, Charles (1986), \"On the Number of Factors in the Arbitrage Pricing Model\" , Journal of Finance, Vol.41, No.2,pp.347-368. | zh_TW |
| item.fulltext | With Fulltext | - |
| item.grantfulltext | open | - |
| item.cerifentitytype | Publications | - |
| item.openairetype | thesis | - |
| item.openairecristype | http://purl.org/coar/resource_type/c_46ec | - |
| Appears in Collections: | 學位論文 | |
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