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題名 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
作者 何祖平
貢獻者 汪義育
何祖平
日期 1991
1990
上傳時間 2-May-2016 17:01:13 (UTC+8)
參考文獻 一、中文部份:
     許怡隆，外匯市場風險溢價之探討-----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，民國七十八年六月。
     
     二、英文部份:
     1. Baillie, R.T. and T. Bollerslev (1989), -" The message in Daily Exchange Rates: A conditional Variance Tail”`, Joumal of Business and Economics Statistics, 7: pp 297-305.
     2. Baillie, R. T. and T. Bollerslev (1990), "A Multivariate Generalized ARCH Approach to Modeling Risk Premia in Forward Foreign Exhange Rate Market", Journal of International Money and Finace, 9: pp 309-324.
     3. Baba, Y., R.F. Engle, D. F. Kraft, ICF. Kroner (1989), - "Multivariate Simultaneous Genera- lizcd ARCH`, D.C. San Diego Working Paper # 89-75.
     4. Bollerslev, T. (1986)--" Generalized Auto- regressive Conditional Heteroscedasticity", Journal of Econometrics, 31: pp 307-327.
     5. Bollerslev, T. (1988)--" On the Correlation Structure for the Generalized Autogressive Conditional Hetero-scedasticity Process",Journal of Time Series Analysis, 9.2: pp121- 13l.
     6. Bollerslev T. (1990)" Modelling the Coherence in Short Run Nominal Exchange Rates: A Multivariate Generalized AR CH Moder, Review of EConomics and Statistics,
     7. Bollerslev, T., R.F. Engle, J. M. Wooldridge. (1988), -" A Capital Asset Pricing Model with Time- Va ring Covariance"Journal of Political Economy, 96. 1: pp 116-131.
     8. Bollerslev, T. and J. M. Wooldridge. (l988) --" Quasi-Maximum Likelihood Estimation of Dynamic Model with Time- Varing Covariance", M.I. T Working Paper # 505.
     9. Dicky, D. A. and VV. A. Fuller (1981)-" Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root", Econometrica,49,4: pp 1057-1072.
     10. Diebold, X. F. (1988)--" Empirical Modeling of Exchange Rate Dynamics", Lecture Notes in Economics and Mathmaica.l System 303, Spring- Verlag Published.
     11. Diebold, X. F. and M. Nerlove (1989)-" The Dynamics of Exchange Rate Volatility: A Mul- tivariate Latent Factor AR CH Model, Journal of Applied Econometrics, 1: pp 1-21.
     12. Domowitz Ⅰ. and C. S. Hakkio (1985)--" Conditional Variance and the Risk in the Foreign Exchange Market", Journal of International Economics, 19: pp 47-66.
     13. Engle, F. R. (1982)--" Autoregressi1)e Con- ditional Heteroscedasticity with Estimates of the Variance of Unitedd Kindom Inflation",Econometrica, 50, 4: pp 987-1007 .
     14. Engle, F. R. and T. Bollerslev. (1986)--" Modelling the Persistence of Conditional Variance", Econometric Review, 5: pp 1-50.
     15. Engle, F. R. and T. Bollerslev. (1989)" Common Persistence in Conditional Variance", U. C. San Diego Working Paper # 89-75.
     16. Engle, F. R., C. W. J. Granger. and D. Kraft. (1984)" Combining Competing Forcasts of Infia- tion using A Bivariate ARCH Moder`, Journal of Economic Dynamics and Control, 8: pp 151-165.
     17. Engle, F. R. and C. W. J. Granger. (1987)-" Co-intergration and Error Correction: Repres- sentation) Estimation and Testing", Econometrica, 55, 2: pp 251-276.
     18. Engle, F. R., T. Ito. and Lin Wen-Ling. (1990) - -" Metero Shower or Heat Wave? Heteroscedas- ticity Intra-Daily Volatility in the Foreign Exchange Market",Econometrica, 58, 3: pp 525-524.
     19. Engle, F. R., D. Lilien. and R. Robin (1987)" Estimating Timing Va ring Risk Premia in the Term Struct1Lre: The AR CH-M Model", Econometrica, 55, 2: pp 391-407 .
     20. Engle, F. R., V. K. Ng. and M. Rothschild (1990)-" Asset Pricing with a Factor-AR CH Covariance Str?udure: Empirical Estimates for Treasure Bills") Journal of Econometrics, 45: pp 213-237.
     21. Engel, C. and P. A. Rodriguez (1989)" Test of International CAP M with Timing Varing Covariance", Journal of Applied Econometrics, 4: pp 119-138.
     22. Fama. E. F. (1965)" The Behaviour of Stock Market Prices", Journal of Business, 38: pp 34-105.
     23. Friedman. D. and S. Vandersteel (1982)---" Short-Run Fluctuations in Foreign Exchange Rates: Evidence From the Data 1973-1979", Journal of International Economics, 13: pp 171-186.
     24. Geweke, J. (1986) )) Comment" Econometric Review , 5: pp 57-61.
     25. Henderson. V. H. and S. R. Searle (1979)-" Vec and Vech operators for Matrices) with some uses in Jacobians and Multivariate Statistics", The Canadian Journal of Statistics, 7, 1:pp 65-81.
     26. Hsieh. A." D. (1989)--" Modelling HeteTosce- dasticity in Daily Foreign Exchange Rates", Journal of Business and Economics Statistics, 7.3: pp 307-317.
     27. Kiminsky. G. and R. Peruga (1990)-" Can a Timing Varing Risk Premium Explain Excess Returns in the Forward ]vI arket for Foreign Exchange? ", Journal of International Economics, 28: pp 47-70.
     28. Ljung. G. M. and G.E.P.Box. (1978)-" On a. Measure of Lack of Fit in Time Series Moder`, Biometrica, 65.2: pp 297-303.
     29. Mandelbrot. B. (1963)-- " The Variation of CeTtain Speculative Prices", Journal of Business, 36: pp 394-419.
     30. Meese. R.A. and K. Rogoff. (1983)-" EmpiTical Exchange Rate Models of the Seventies-Do They Fit Out of Sample? "Journal of International Economics, 14: pp 3-24.
     31. Meese. R.A. and K.J. Singleton (1982)-" On Unit Root and the Empirical Modeling of Ex- change Rate", Journal of Finance, 37.4: pp 1029-1035.
     32. Milhog. A. (1987)-" A Conditional Variance Model for Daily Deviation of Exchange Rate," Journal of Business and Economics Statistics, 5.1: pp 99-103.
     33. Nelson. D.B. (1990)- -" Stationary and Persistence in GARCH (1,1) Moder`, Econometric Theory, 6: pp 318-334.
     34. Pantula, S.C. (1986) " Comment" Econometric Review, 5: pp 71-73.
     35. Pagan. A. and A. Ullah. (1988)-" The Econometric Analysis of Models with Risk Terms", Journal of Applied Econometrics, 3: pp 87-105.
     36. Weiss. A.A. (1984)--" ARMA Models with ARCH .Error", Journal of Time Series Analysis, 5.2: pp 1-25.
     37. Weiss. A.A. (1986)-" Asymptotic Theory for ARCH Model: Estimation and Testing", Econo- metric Theory, 2: pp107-131.
     38. White. H. (1982)--" Maximum Likelihood Estimation of Misspecified Moder`, Econometrica, 50, 1: pp 1-25.
     39 . Wooldridge. J .M. (1990)--" A Unified Approach to Robust Regression-Based Specification Test", Econometric Theory, 6:pp 17-43.
描述 碩士
國立政治大學
國際經營與貿易學系
資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002004996
資料類型 thesis
dc.contributor.advisor 汪義育zh_TW
dc.contributor.author (Authors) 何祖平zh_TW
dc.creator (作者) 何祖平zh_TW
dc.date (日期) 1991en_US
dc.date (日期) 1990en_US
dc.date.accessioned 2-May-2016 17:01:13 (UTC+8)-
dc.date.available 2-May-2016 17:01:13 (UTC+8)-
dc.date.issued (上傳時間) 2-May-2016 17:01:13 (UTC+8)-
dc.identifier (Other Identifiers) B2002004996en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/89603-
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.tableofcontents 第一章 緒論 1
     第一節 研究動機與目的 2
     第二節 論文研究大綱 3
     第二章 單變數自迴歸條件異質變異數模型 3
     第一節 基本模型之介紹 6
     第二節 基本模型之擴充與應用 18
     第三章 多元自迴歸條件異質變異數模型 18
     第一節 前言 20
     第二節 多元ARCH 模型之設定 20
     第三節 多元ARCH 模型非恒定性之研究 31
     第四節 多元ARCH 模型之估計與檢定 38
     第四章 實證結果之分析 49
     第一節 前言 49
     第二節 單變數ARCH模型之實證分析 50
     第三節 多元ARCH 模型之實證分析 56
     第五章 結論與建議 63
     第一節 結論 63
     第二節 建議 64
     參考文獻 68		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002004996en_US
dc.title (題名) 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zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 一、中文部份:
     許怡隆，外匯市場風險溢價之探討-----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，民國七十八年六月。
     
     二、英文部份:
     1. Baillie, R.T. and T. Bollerslev (1989), -" The message in Daily Exchange Rates: A conditional Variance Tail”`, Joumal of Business and Economics Statistics, 7: pp 297-305.
     2. Baillie, R. T. and T. Bollerslev (1990), "A Multivariate Generalized ARCH Approach to Modeling Risk Premia in Forward Foreign Exhange Rate Market", Journal of International Money and Finace, 9: pp 309-324.
     3. Baba, Y., R.F. Engle, D. F. Kraft, ICF. Kroner (1989), - "Multivariate Simultaneous Genera- lizcd ARCH`, D.C. San Diego Working Paper # 89-75.
     4. Bollerslev, T. (1986)--" Generalized Auto- regressive Conditional Heteroscedasticity", Journal of Econometrics, 31: pp 307-327.
     5. Bollerslev, T. (1988)--" On the Correlation Structure for the Generalized Autogressive Conditional Hetero-scedasticity Process",Journal of Time Series Analysis, 9.2: pp121- 13l.
     6. Bollerslev T. (1990)" Modelling the Coherence in Short Run Nominal Exchange Rates: A Multivariate Generalized AR CH Moder, Review of EConomics and Statistics,
     7. Bollerslev, T., R.F. Engle, J. M. Wooldridge. (1988), -" A Capital Asset Pricing Model with Time- Va ring Covariance"Journal of Political Economy, 96. 1: pp 116-131.
     8. Bollerslev, T. and J. M. Wooldridge. (l988) --" Quasi-Maximum Likelihood Estimation of Dynamic Model with Time- Varing Covariance", M.I. T Working Paper # 505.
     9. Dicky, D. A. and VV. A. Fuller (1981)-" Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root", Econometrica,49,4: pp 1057-1072.
     10. Diebold, X. F. (1988)--" Empirical Modeling of Exchange Rate Dynamics", Lecture Notes in Economics and Mathmaica.l System 303, Spring- Verlag Published.
     11. Diebold, X. F. and M. Nerlove (1989)-" The Dynamics of Exchange Rate Volatility: A Mul- tivariate Latent Factor AR CH Model, Journal of Applied Econometrics, 1: pp 1-21.
     12. Domowitz Ⅰ. and C. S. Hakkio (1985)--" Conditional Variance and the Risk in the Foreign Exchange Market", Journal of International Economics, 19: pp 47-66.
     13. Engle, F. R. (1982)--" Autoregressi1)e Con- ditional Heteroscedasticity with Estimates of the Variance of Unitedd Kindom Inflation",Econometrica, 50, 4: pp 987-1007 .
     14. Engle, F. R. and T. Bollerslev. (1986)--" Modelling the Persistence of Conditional Variance", Econometric Review, 5: pp 1-50.
     15. Engle, F. R. and T. Bollerslev. (1989)" Common Persistence in Conditional Variance", U. C. San Diego Working Paper # 89-75.
     16. Engle, F. R., C. W. J. Granger. and D. Kraft. (1984)" Combining Competing Forcasts of Infia- tion using A Bivariate ARCH Moder`, Journal of Economic Dynamics and Control, 8: pp 151-165.
     17. Engle, F. R. and C. W. J. Granger. (1987)-" Co-intergration and Error Correction: Repres- sentation) Estimation and Testing", Econometrica, 55, 2: pp 251-276.
     18. Engle, F. R., T. Ito. and Lin Wen-Ling. (1990) - -" Metero Shower or Heat Wave? Heteroscedas- ticity Intra-Daily Volatility in the Foreign Exchange Market",Econometrica, 58, 3: pp 525-524.
     19. Engle, F. R., D. Lilien. and R. Robin (1987)" Estimating Timing Va ring Risk Premia in the Term Struct1Lre: The AR CH-M Model", Econometrica, 55, 2: pp 391-407 .
     20. Engle, F. R., V. K. Ng. and M. Rothschild (1990)-" Asset Pricing with a Factor-AR CH Covariance Str?udure: Empirical Estimates for Treasure Bills") Journal of Econometrics, 45: pp 213-237.
     21. Engel, C. and P. A. Rodriguez (1989)" Test of International CAP M with Timing Varing Covariance", Journal of Applied Econometrics, 4: pp 119-138.
     22. Fama. E. F. (1965)" The Behaviour of Stock Market Prices", Journal of Business, 38: pp 34-105.
     23. Friedman. D. and S. Vandersteel (1982)---" Short-Run Fluctuations in Foreign Exchange Rates: Evidence From the Data 1973-1979", Journal of International Economics, 13: pp 171-186.
     24. Geweke, J. (1986) )) Comment" Econometric Review , 5: pp 57-61.
     25. Henderson. V. H. and S. R. Searle (1979)-" Vec and Vech operators for Matrices) with some uses in Jacobians and Multivariate Statistics", The Canadian Journal of Statistics, 7, 1:pp 65-81.
     26. Hsieh. A." D. (1989)--" Modelling HeteTosce- dasticity in Daily Foreign Exchange Rates", Journal of Business and Economics Statistics, 7.3: pp 307-317.
     27. Kiminsky. G. and R. Peruga (1990)-" Can a Timing Varing Risk Premium Explain Excess Returns in the Forward ]vI arket for Foreign Exchange? ", Journal of International Economics, 28: pp 47-70.
     28. Ljung. G. M. and G.E.P.Box. (1978)-" On a. Measure of Lack of Fit in Time Series Moder`, Biometrica, 65.2: pp 297-303.
     29. Mandelbrot. B. (1963)-- " The Variation of CeTtain Speculative Prices", Journal of Business, 36: pp 394-419.
     30. Meese. R.A. and K. Rogoff. (1983)-" EmpiTical Exchange Rate Models of the Seventies-Do They Fit Out of Sample? "Journal of International Economics, 14: pp 3-24.
     31. Meese. R.A. and K.J. Singleton (1982)-" On Unit Root and the Empirical Modeling of Ex- change Rate", Journal of Finance, 37.4: pp 1029-1035.
     32. Milhog. A. (1987)-" A Conditional Variance Model for Daily Deviation of Exchange Rate," Journal of Business and Economics Statistics, 5.1: pp 99-103.
     33. Nelson. D.B. (1990)- -" Stationary and Persistence in GARCH (1,1) Moder`, Econometric Theory, 6: pp 318-334.
     34. Pantula, S.C. (1986) " Comment" Econometric Review, 5: pp 71-73.
     35. Pagan. A. and A. Ullah. (1988)-" The Econometric Analysis of Models with Risk Terms", Journal of Applied Econometrics, 3: pp 87-105.
     36. Weiss. A.A. (1984)--" ARMA Models with ARCH .Error", Journal of Time Series Analysis, 5.2: pp 1-25.
     37. Weiss. A.A. (1986)-" Asymptotic Theory for ARCH Model: Estimation and Testing", Econo- metric Theory, 2: pp107-131.
     38. White. H. (1982)--" Maximum Likelihood Estimation of Misspecified Moder`, Econometrica, 50, 1: pp 1-25.
     39 . Wooldridge. J .M. (1990)--" A Unified Approach to Robust Regression-Based Specification Test", Econometric Theory, 6:pp 17-43.		zh_TW