學術產出-Theses
Article View/Open
Publication Export
-
題名 套利定價理論與VAR模型之聯合估計 : 以台灣外匯市場為例 作者 廖志強
LIAO, ZHI-QIANG貢獻者 林祖嘉
廖志強
LIAO, ZHI-QIANG日期 1992
1991上傳時間 2-May-2016 17:11:45 (UTC+8) 參考文獻 [1] 汪義芳(1985) ， 74 年中國經濟學會年會論文集。 [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. [3] Beenstock, Michael and Kam-Fai Chan (1988), "Economic Forces In the London Stock Market", Oxford Bulletin of Economics and Statistics 50, No.1. [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. [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. [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. [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 . [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. [9] Chen, Nai-Fu (1983), "Some Empirical Test of the Theory of Arbitrage Pricing" , Journal of Finance, Vol. 38, No.5. [10] Chen, Nai-Fu, Richard Roll, and Stephen A. Ross (1986), "Economic Force and the Stock Market", Journal of Business,Vol.59,No.3. [11] Connor, Gregory (1984), "A Unified Beta Pricing Theory",Journal of Economic Theory 34, pp.13-31. [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. [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. [14] Cramer, J. S. (1989), Econometric applications of Maximum Likelihood methods, CAMBRIDGE UNIVERSITY PRESS. [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. [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. [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. [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. [19] Friedman, M. (1953), Essays In Positive Economics, CHICAGO:UNIVERSITY OF CHICAGO Press. [20] Grinblatt, Mark and Sheridan Titman (1983), "Factor Pricing in a Finite Economy", Journal of Financial Economics 12,pp.497-507. [21] Harvey, Andrew A. C. (1990), The Econometric Analysis of Time Series (2nd ed.), PHILIP ALLAN. [22] Huberman, Gur (1982), "A Simple Approach to Arbitrage Pricing Theory", Journal of Economic Theory, 28, pp.183-191. [23] Johnson, Richard A. and Dean W. Wichern, Applied Multivariate Statistical Analysis (2nd ed.), Prentice-Hall, Inc. [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. [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. [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. [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. [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. [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. [30] Pindyck, Robert S. and Julio J. Rotemberg (1990), "Do Stock Prices Move Together Too Much", NBER working paper No.3324. [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. [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. [33] Roll, Richard (1988), "R2", Journal of Finance, Vo1.43, No.2. [34] Ross, Stephen A. (1976), "The Arbitrage Theory of Capital Asset Pricing", Journal of Economic Theory, 13, pp.341-360. [35] Shanken, Jay (1982), "The Arbitrage Pricing Theory: Is it Testable ?", Journal of Finance, Vol. 37, No.5, pp.1129-1140. [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. [37] Spanos, Aris (1986), Statistical Foudations of Econometric Modelling, CAMBRIDGE UNIVERSITY PRESS. [38] Trzcinka, Charles (1986), "On the Number of Factors in the Arbitrage Pricing Model" , Journal of Finance, Vol.41, No.2,pp.347-368. 描述 碩士
國立政治大學
經濟學系資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002004713 資料類型 thesis dc.contributor.advisor 林祖嘉 zh_TW dc.contributor.author (Authors) 廖志強 zh_TW dc.contributor.author (Authors) LIAO, ZHI-QIANG en_US dc.creator (作者) 廖志強 zh_TW dc.creator (作者) LIAO, ZHI-QIANG en_US dc.date (日期) 1992 en_US dc.date (日期) 1991 en_US dc.date.accessioned 2-May-2016 17:11:45 (UTC+8) - dc.date.available 2-May-2016 17:11:45 (UTC+8) - dc.date.issued (上傳時間) 2-May-2016 17:11:45 (UTC+8) - dc.identifier (Other Identifiers) B2002004713 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/89873 - 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.tableofcontents 第一章 緒論………………………..1 1.1研究動機與目的………………………..1 1.2 研究大綱………………………..2 第二章 APT的基本模型………………………..4 2.1 Ross` APT………………………..4 2.2 APT的均衡模型………………………..10 2.3 傳統實證模型的設定與限制………………………..11 第三章 因素的確認與經濟意義--A NEW APPROACH………………………..23 3.1 聯立多元時間序列模型………………………..23 3.2 因素的確認………………………..27 第四章 實證模型與實證結果分析………………………..30 4.1 實證模型與估計方法………………………..30 4.2 向量自我迴歸模型估計與因素的萃取………………………..31 4.3 聯立模型估計與實證結果分析………………………..32 第五章 結論與建議………………………..39 附錄………………………..41 參考文獻………………………..42 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002004713 en_US dc.title (題名) 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 (資料類型) thesis en_US dc.relation.reference (參考文獻) [1] 汪義芳(1985) ， 74 年中國經濟學會年會論文集。 [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. [3] Beenstock, Michael and Kam-Fai Chan (1988), "Economic Forces In the London Stock Market", Oxford Bulletin of Economics and Statistics 50, No.1. [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. [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. [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. [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 . [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. [9] Chen, Nai-Fu (1983), "Some Empirical Test of the Theory of Arbitrage Pricing" , Journal of Finance, Vol. 38, No.5. [10] Chen, Nai-Fu, Richard Roll, and Stephen A. Ross (1986), "Economic Force and the Stock Market", Journal of Business,Vol.59,No.3. [11] Connor, Gregory (1984), "A Unified Beta Pricing Theory",Journal of Economic Theory 34, pp.13-31. [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. [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. [14] Cramer, J. S. (1989), Econometric applications of Maximum Likelihood methods, CAMBRIDGE UNIVERSITY PRESS. [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. [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. [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. [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. [19] Friedman, M. (1953), Essays In Positive Economics, CHICAGO:UNIVERSITY OF CHICAGO Press. [20] Grinblatt, Mark and Sheridan Titman (1983), "Factor Pricing in a Finite Economy", Journal of Financial Economics 12,pp.497-507. [21] Harvey, Andrew A. C. (1990), The Econometric Analysis of Time Series (2nd ed.), PHILIP ALLAN. [22] Huberman, Gur (1982), "A Simple Approach to Arbitrage Pricing Theory", Journal of Economic Theory, 28, pp.183-191. [23] Johnson, Richard A. and Dean W. Wichern, Applied Multivariate Statistical Analysis (2nd ed.), Prentice-Hall, Inc. [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. [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. [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. [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. [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. [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. [30] Pindyck, Robert S. and Julio J. Rotemberg (1990), "Do Stock Prices Move Together Too Much", NBER working paper No.3324. [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. [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. [33] Roll, Richard (1988), "R2", Journal of Finance, Vo1.43, No.2. [34] Ross, Stephen A. (1976), "The Arbitrage Theory of Capital Asset Pricing", Journal of Economic Theory, 13, pp.341-360. [35] Shanken, Jay (1982), "The Arbitrage Pricing Theory: Is it Testable ?", Journal of Finance, Vol. 37, No.5, pp.1129-1140. [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. [37] Spanos, Aris (1986), Statistical Foudations of Econometric Modelling, CAMBRIDGE UNIVERSITY PRESS. [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
