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題名 多元自迴歸條件異質變異數之模型設定研究
作者 欉清全
Tung, Genius
貢獻者 汪義育
欉清全
Genius Tung
關鍵詞 穩健統計量
非恆定
共積
準最大概似估計式
因素分析
robust statistics
Co-integration
unit root
Multivariate ARCH
日期 1993
上傳時間 29-Apr-2016 16:43:32 (UTC+8)
摘要 經濟理論明白揭示，在不確定下，金融性資產的選擇不僅要考慮其未來報
參考文獻 參考書目
     一、中文部分
     何祖平，中華民國八十年七月，多元自迴歸條件異質變異數模型--國際主要貨幣關聯性之研究，國立政治大學國際貿易研究所碩士論文
     行政院經濟建設委員會經濟研究處，中華民國八十年六月三十日，短期總體經濟預測。
     二、英文部分
     Baillie , Richard T. Tim Bollerslev,1990,A multivariate generalized
     ARCH approach to modeling risk premia in forward foreign rate markets
     , Journal of International Money and Finance 9,309-324.
     Bollerslev Tim,19S6,Generalized autoregressive conditional heteroskedas-ticity,
     Journal of Econometrics 31,307-327.
     Bollerslev Tim,1990,A Unified Approach To Robust, Regression- Based
     Specification Tests, Econometric Theory 6,17-43.
     Bollerslev Tim, Ray Y. Chou & Kenneth F.Kroner,1992, ARCH mod-elling
     in finance, Journal of Econometrics 5?,5-59 .
     Dickey, D.A. and W.A. Fuller, 19S1,Likelihood Ratio Statistics for Autoregressive
     Time Series With A Unit Root ,Econometrica, 49,4,1057-1079.
     Diebold, Francis X. and Mark Nerlove,1989,The dynamics of exchange
     rate volatility: A muitivariate latent factor ARCH model, Journal of
     Applied Econometrics 4,1-21.
     Diebold, Francis. X. and Peter Pauly,1988b,Has the EMS reduced member
     country exchange rate volatility?, Empirical Economics 13,81-102.
     Engle, Ro bert F .1982,Autoregressive conditional heteroskedasticity with
     estimates of the variance of U.K. inflation, Econometrica 50,987-1008.
     Engle, Robert F.1983,Estimates of the variance of U.S. inflation based
     on the ARCH model, Journal of Money, Credit and Banking 15, 286-301.
     Engle, Robert F ., Clive W.J.Granger,1987,Cointergration and Error Correction:
     Representation, Estimation and Testing, Econometrica,55,2,251-276.
     Engle, Robert F. and Tim Bollerslev,1986,Modelling the persistence of
     conditional variances ,Econometric Review 5,1-50,81-87.
     Engle, Robert F. and Tim Bollerslev,1989,Common Persistent in Conditional
     Variance, U. C. San Diego Discussion Paper ,89-54.
     Engle, Robert F. and Victor K.Ng,1990 , An examination of the impact
     of volatility shocks on the short end of the term structure based on a factor-ARCH model for treasury bills, Journal of Econometrics,45,213-237.
     Engle, Robert F. ,Clive W.J. Granger, and Dennis F .Kraft ,1984, Combination
     competing forecasts of inflation using a bivariate ARCH model,
     Journal of Economic Dynamics and Control 8,151- 165.
     Engle, Robert F. David M. Lilien, and Russel P. Robins, 1987, Estimating
     time varying risk premia in the term structure: The ARCH-M
     model, Econometrica 55,391-407.
     Fama,Eugene,F.,1965,The behavior of stock market prices, Journal
     of Business 38,34-105 .
     Hsieh, David A. ,1989a,Modelling heteroskedasticity III daily foreign
     exchange rates , Journal of Business and Economic Statistics 1,307-31 7.
     Kroner, Kenneth F .and Stijn Claessens,1991 ,Optimal currency composition
     of external debt: Applications to Indonesia and Turkey ,Journal
     of International Money and Finance 10,131-148.
     Lee, Tom K., 1988,Does conditional covariance or variance explain time
     varying risk premia in foreign exchange return? ,Economics Letters 21,371-373.
     Milhoj ,Anders ,1987a,A conditional variance model for daily observations
     of an exchange rate, Journal of Business and Economic Statistics5,99-103.
     Taylor, Stephen J ,.1986,Modelling Financial Time Series (Wiley, New York, NY).
     Tim Bollerslev & Jeffrey M.vVooldridge,1992,Quasi-Maximum Likelihood
     Estimation and Inference In Dynamic Models With Time Varying
     Covariances, Econometric Reviews 11(2),147-172.
     White,Halbert,1982,Maximum likelihood estimation of misspecified
     models, Econometrica 50,1-25.
     Wooldridge, Jeffrey M., Specification testing and quasi-maximum -likelihood
     estimation,1991,Journal of Econometrics 48, 29-55.
描述 碩士
國立政治大學
國際經營與貿易學系
G80351021
資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002004172
資料類型 thesis
dc.contributor.advisor 汪義育zh_TW
dc.contributor.author (Authors) 欉清全zh_TW
dc.contributor.author (Authors) Genius Tungen_US
dc.creator (作者) 欉清全zh_TW
dc.creator (作者) Tung, Geniusen_US
dc.date (日期) 1993en_US
dc.date.accessioned 29-Apr-2016 16:43:32 (UTC+8)-
dc.date.available 29-Apr-2016 16:43:32 (UTC+8)-
dc.date.issued (上傳時間) 29-Apr-2016 16:43:32 (UTC+8)-
dc.identifier (Other Identifiers) B2002004172en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/89011-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 國際經營與貿易學系zh_TW
dc.description (描述) G80351021zh_TW
dc.description.abstract (摘要) 經濟理論明白揭示，在不確定下，金融性資產的選擇不僅要考慮其未來報zh_TW
dc.description.tableofcontents 目錄
     第一章 緒論 2
     1.1 研究動機與目的..........2
     1.2 論文架構安排..........3
     第二章 自迴歸條件異質變異數(ARCH)模型的設定 5
     2.1前言..........5
     2.2 單變數ARCH模型..........6
     2.3 多元自迴歸條件異質變異數(MARCH)模型..........10
     2.4 因素ARCH模型..........15
     第三章 MARCH模型之非恒定行與估計檢定方法18
     3.1 前言..........18
     3.2 MARCH模型非恒定行與共積性..........19
     3.2.1 MARCH模型的非恒定條件..........20
     3.2.2 MARCH模型的共積條件..........29
     3.3 MARCH模型之估計與檢定..........33
     3.3.1 QMLE估計式的漸進分配性質..........34
     3.3.2 模型參數的檢定..........38
     3.4貝氏VAR的估計方法..........41
     3.4.1 VAR模型的表現式..........41
     3.4.2 貝氏VAR之估計方法..........43
     第四章 實証研究 45
     4.1 前言..........45
     4.2 單變數ARCH模型的實証分析..........46
     4.3 多變數的實証分析..........49
     4.3.1對角落後遞減模型之估計..........49
     4.3.2 Factor ARCH模型之估計..........51
     4.3.3 貝氏VAR之估計方式..........53
     4.4 模型評估..........59
     第五章 結論與建議 61
     5.1 結論..........61
     5.2 建議..........62		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002004172en_US
dc.subject (關鍵詞) 穩健統計量zh_TW
dc.subject (關鍵詞) 非恆定zh_TW
dc.subject (關鍵詞) 共積zh_TW
dc.subject (關鍵詞) 準最大概似估計式zh_TW
dc.subject (關鍵詞) 因素分析zh_TW
dc.subject (關鍵詞) robust statisticsen_US
dc.subject (關鍵詞) Co-integrationen_US
dc.subject (關鍵詞) unit rooten_US
dc.subject (關鍵詞) Multivariate ARCHen_US
dc.title (題名) 多元自迴歸條件異質變異數之模型設定研究zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 參考書目
     一、中文部分
     何祖平，中華民國八十年七月，多元自迴歸條件異質變異數模型--國際主要貨幣關聯性之研究，國立政治大學國際貿易研究所碩士論文
     行政院經濟建設委員會經濟研究處，中華民國八十年六月三十日，短期總體經濟預測。
     二、英文部分
     Baillie , Richard T. Tim Bollerslev,1990,A multivariate generalized
     ARCH approach to modeling risk premia in forward foreign rate markets
     , Journal of International Money and Finance 9,309-324.
     Bollerslev Tim,19S6,Generalized autoregressive conditional heteroskedas-ticity,
     Journal of Econometrics 31,307-327.
     Bollerslev Tim,1990,A Unified Approach To Robust, Regression- Based
     Specification Tests, Econometric Theory 6,17-43.
     Bollerslev Tim, Ray Y. Chou & Kenneth F.Kroner,1992, ARCH mod-elling
     in finance, Journal of Econometrics 5?,5-59 .
     Dickey, D.A. and W.A. Fuller, 19S1,Likelihood Ratio Statistics for Autoregressive
     Time Series With A Unit Root ,Econometrica, 49,4,1057-1079.
     Diebold, Francis X. and Mark Nerlove,1989,The dynamics of exchange
     rate volatility: A muitivariate latent factor ARCH model, Journal of
     Applied Econometrics 4,1-21.
     Diebold, Francis. X. and Peter Pauly,1988b,Has the EMS reduced member
     country exchange rate volatility?, Empirical Economics 13,81-102.
     Engle, Ro bert F .1982,Autoregressive conditional heteroskedasticity with
     estimates of the variance of U.K. inflation, Econometrica 50,987-1008.
     Engle, Robert F.1983,Estimates of the variance of U.S. inflation based
     on the ARCH model, Journal of Money, Credit and Banking 15, 286-301.
     Engle, Robert F ., Clive W.J.Granger,1987,Cointergration and Error Correction:
     Representation, Estimation and Testing, Econometrica,55,2,251-276.
     Engle, Robert F. and Tim Bollerslev,1986,Modelling the persistence of
     conditional variances ,Econometric Review 5,1-50,81-87.
     Engle, Robert F. and Tim Bollerslev,1989,Common Persistent in Conditional
     Variance, U. C. San Diego Discussion Paper ,89-54.
     Engle, Robert F. and Victor K.Ng,1990 , An examination of the impact
     of volatility shocks on the short end of the term structure based on a factor-ARCH model for treasury bills, Journal of Econometrics,45,213-237.
     Engle, Robert F. ,Clive W.J. Granger, and Dennis F .Kraft ,1984, Combination
     competing forecasts of inflation using a bivariate ARCH model,
     Journal of Economic Dynamics and Control 8,151- 165.
     Engle, Robert F. David M. Lilien, and Russel P. Robins, 1987, Estimating
     time varying risk premia in the term structure: The ARCH-M
     model, Econometrica 55,391-407.
     Fama,Eugene,F.,1965,The behavior of stock market prices, Journal
     of Business 38,34-105 .
     Hsieh, David A. ,1989a,Modelling heteroskedasticity III daily foreign
     exchange rates , Journal of Business and Economic Statistics 1,307-31 7.
     Kroner, Kenneth F .and Stijn Claessens,1991 ,Optimal currency composition
     of external debt: Applications to Indonesia and Turkey ,Journal
     of International Money and Finance 10,131-148.
     Lee, Tom K., 1988,Does conditional covariance or variance explain time
     varying risk premia in foreign exchange return? ,Economics Letters 21,371-373.
     Milhoj ,Anders ,1987a,A conditional variance model for daily observations
     of an exchange rate, Journal of Business and Economic Statistics5,99-103.
     Taylor, Stephen J ,.1986,Modelling Financial Time Series (Wiley, New York, NY).
     Tim Bollerslev & Jeffrey M.vVooldridge,1992,Quasi-Maximum Likelihood
     Estimation and Inference In Dynamic Models With Time Varying
     Covariances, Econometric Reviews 11(2),147-172.
     White,Halbert,1982,Maximum likelihood estimation of misspecified
     models, Econometrica 50,1-25.
     Wooldridge, Jeffrey M., Specification testing and quasi-maximum -likelihood
     estimation,1991,Journal of Econometrics 48, 29-55.		zh_TW