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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 16:30:15 (UTC+8)
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
     講稿。
     [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
     聯性之研究"，政治大學國際貿易研究所碩士論文。
     [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
     討"中國統計學報，第30 卷第2 期， 169-189 頁。
     [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
     大學經濟研究所碩士論文。
     [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
     之研究"政治大學國際貿易研究所碩士論文。
     [6] 葉怡成[民82]，“顯神經網路模式應用與實作"儒林圖書公司。
     [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
     究所碩士論文。
     
     
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描述 碩士
國立政治大學
經濟學系
G796802
資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002004218
資料類型 thesis
dc.contributor.advisor 毛維凌zh_TW
dc.contributor.advisor Mao, Wei Lingen_US
dc.contributor.author (Authors) 葉俊雄zh_TW
dc.contributor.author (Authors) Yeh, Jiunn Shyongen_US
dc.creator (作者) 葉俊雄zh_TW
dc.creator (作者) Yeh, Jiunn Shyongen_US
dc.date (日期) 1993en_US
dc.date.accessioned 29-Apr-2016 16:30:15 (UTC+8)-
dc.date.available 29-Apr-2016 16:30:15 (UTC+8)-
dc.date.issued (上傳時間) 29-Apr-2016 16:30:15 (UTC+8)-
dc.identifier (Other Identifiers) B2002004218en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/88684-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 經濟學系zh_TW
dc.description (描述) G796802zh_TW
dc.description.abstract (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zh_TW
dc.description.tableofcontents 第壹章 緒論 1
     
     第貳章 名目即期匯率之統計分析與非線性檢定 6
     第壹節 線形時間序列分析與隨機漫步模式………………………………………………………..6
     第貳節 隨機漫步模式推論合適性檢討………………………………………………………………27
     第參節 非線型檢定統計量應用之文獻回顧………………………………………………………41
     第肆節 非線型檢定統計量………………………………………………………………………………..47
     第伍節 非線型檢定統計量之實證分析……………………………………………………………..59
     
     第參章 非線型動態體系與非線型時間序列模式 66
     第壹節 非線型動態確定體系:確定渾沌體系…………………………………………………….66
     第貳節 非線型動態隨機體系:非線型時間序列模式…………………………………………68
     第參節 自回歸條件異質異數模式…………………………………………………………………….73
     第肆節 自回歸條件異質異數模式之實證分析………………………………………………….84
     
     第肆章 類神經網路與倒傳遞網路模式 98
     第壹節 類神經網路之一般介紹與文獻回顧………………………………………………………98
     第貳節 倒傳遞網路模式………………………………………………………………………………….105
     第參節 倒傳遞網路模式運作過程之數理推導………………………………………………..111
     第肆節 單層隱藏層處理單元個數之探討………………………………………………………..125
     
     第伍章 倒傳遞網路模式之實證分析 130
     第壹節 明目即期匯率之非線型再驗證……………………………………………………………130
     第貳節 倒傳遞網路模式架構之建立……………………………………………………………….130
     第參節 倒傳遞網路模式之實證分析……………………………………………………………….130
     第肆節 檢討…………………………………………………………………………………………………….130
     
     第陸章 結論 130
     
     附錄
     
     參考文獻		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002004218en_US
dc.subject (關鍵詞) 隨機漫步模式zh_TW
dc.subject (關鍵詞) 確定混沌體系zh_TW
dc.subject (關鍵詞) 類神經網路zh_TW
dc.subject (關鍵詞) 倒傳遞網路模式非線型時間序列模式zh_TW
dc.subject (關鍵詞) 自迴歸條件異質變異數模式zh_TW
dc.subject (關鍵詞) Networken_US
dc.subject (關鍵詞) Non-Linear Time Seriesen_US
dc.subject (關鍵詞) ARCHen_US
dc.subject (關鍵詞) Forecastingen_US
dc.title (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zh_TW
dc.title (題名) A Non-linear Series Analysis of Foreign Market --An ARCH and Neural Approachen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (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
     講稿。
     [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
     聯性之研究"，政治大學國際貿易研究所碩士論文。
     [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
     討"中國統計學報，第30 卷第2 期， 169-189 頁。
     [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
     大學經濟研究所碩士論文。
     [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
     之研究"政治大學國際貿易研究所碩士論文。
     [6] 葉怡成[民82]，“顯神經網路模式應用與實作"儒林圖書公司。
     [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
     究所碩士論文。
     
     
     [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.
     [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.
     [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.
     [4]Baillie,R.T. and .McMahon,P.C.(1989), The Foreign Exchange Market: Theory and Econometric Evidence, Cambridge University Press.
     [5]Bollerslev, T.(1986), “Generalized Autoregressive Conditional Heteroskedasticity”,Journal of Econometrics, Vol.31,307-327.
     [6]Brock, W.A(1987),”Notes on Nuisance Parameter Problems in BDS Type Tests for IID”,working paper, University of Wisconsin-Madison.
     [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.
     [8]Brock,W.A., Hsieh,D.A. and LeBaron,B.(1991), Nonlinear Dynamics, Chaos, and Instability: Statistical Theory and Economic Evidence, MIT Press.
     [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.
     [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.
     [11]Cao,C.Q. and Tsay, R.S.(1992), “Nonlinear Time Series Analysis of Stock Volatilities”, Journal of Applied Econometrics, Vol.7, 165-185.
     [12]Cryer,J.D.(1986),Time Series Analysis, PWS Publishers.
     [13]Davies,N. and Petruccelli,J.D.(1986),”Detecting Non – linearity in Time Series”, The Statistician, Vol.35, 271-280.
     [14]Dechert, W.(1987),”A Program to Calculate BDS Statistics for the IBM PC”,Technical paper, Department of Economics, The University of Houston.
     [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.
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