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題名 金融大數據之應用 : Hawkes相互激勵模型於跨市場跳躍傳染現象之實證分析
Empirical Analysis on Financial Contagion using Hawkes Mutu-ally Exciting Model作者 簡宇澤
Chien, Yu Tse貢獻者 林士貴
Lin, Shih Kuei
簡宇澤
Chien, Yu Tse關鍵詞 跳躍風險
金融傳染
Hawkes過程
自我激勵過程
相互激勵過程
Jump risk
Financial contagion
Hawkes process
Self-exciting process
Mutually-exciting process日期 2017 上傳時間 10-Aug-2017 09:47:32 (UTC+8) 摘要 本研究使用美國、德國、英國股票指數期貨之日內交易資料，從報酬率中分離出連續波動度與跳躍項，再以MLE法估計Hawkes相互激勵過程之參數，衡量跨市場跳躍傳染現象。擴展文獻中僅兩市場的分析至三市場模型，更能從整體的角度解釋市場間的關係及跳躍傳染途徑。實證結果顯示，美國能直接影響其他市場，而其他市場反過來不易干涉美國，呈現非對稱影響效果。歐洲兩國能互相傳染，英國對德國的影響較大，也更有能力影響美國，稱英國為歐洲的影響輸出國，德國為歐洲的影響輸入國。 參考文獻 [1] Aït-Sahalia, Y., Cacho-Diaz, J., & Laeven, R. J. (2015). Modeling financial con-tagion using mutually exciting jump processes. Journal of Financial Econom-ics, 117(3), 585-606.[2] Aït-Sahalia, Y., Laeven, R. J., & Pelizzon, L. (2014). Mutual excitation in Euro-zone sovereign CDS. Journal of Econometrics, 183(2), 151-167.[3] Andersena, T. G., Bollerslevb, T., & Dieboldc, F. X. (2005). Some Like it Smooth, and Some Like it Rough: Disentangling Continuous and Jump Compo-nents in Measuring.[4] Barndorff-Nielsen, O. E., & Shephard, N. (2004). Power and bipower variation with stochastic volatility and jumps. Journal of Financial Econometrics, 2(1), 1-37.[5] Barndorff-Nielsen, O. E., & Shephard, N. (2006). Econometrics of testing for jumps in financial economics using bipower variation. Journal of Financial Econometrics, 4(1), 1-30.[6] Hawkes, A. G. (1971). Spectra of some self-exciting and mutually exciting point processes. Biometrika, 58(1), 83-90.[7] Huang, X., & Tauchen, G. (2005). The relative contribution of jumps to total price variance. Journal of Financial Econometrics, 3(4), 456-499.[8] Ozaki, T. (1979). Maximum likelihood estimation of Hawkes` self-exciting point processes. Annals of the Institute of Statistical Mathematics, 31(1), 145-155.[9] Vere-Jones, D. (1970). Stochastic models for earthquake occurrence. Journal of the Royal Statistical Society. Series B (Methodological), 1-62. 描述 碩士
國立政治大學
金融學系
104352034資料來源 http://thesis.lib.nccu.edu.tw/record/#G1043520341 資料類型 thesis dc.contributor.advisor 林士貴 zh_TW dc.contributor.advisor Lin, Shih Kuei en_US dc.contributor.author (Authors) 簡宇澤 zh_TW dc.contributor.author (Authors) Chien, Yu Tse en_US dc.creator (作者) 簡宇澤 zh_TW dc.creator (作者) Chien, Yu Tse en_US dc.date (日期) 2017 en_US dc.date.accessioned 10-Aug-2017 09:47:32 (UTC+8) - dc.date.available 10-Aug-2017 09:47:32 (UTC+8) - dc.date.issued (上傳時間) 10-Aug-2017 09:47:32 (UTC+8) - dc.identifier (Other Identifiers) G1043520341 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/111748 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 金融學系 zh_TW dc.description (描述) 104352034 zh_TW dc.description.abstract (摘要) 本研究使用美國、德國、英國股票指數期貨之日內交易資料，從報酬率中分離出連續波動度與跳躍項，再以MLE法估計Hawkes相互激勵過程之參數，衡量跨市場跳躍傳染現象。擴展文獻中僅兩市場的分析至三市場模型，更能從整體的角度解釋市場間的關係及跳躍傳染途徑。實證結果顯示，美國能直接影響其他市場，而其他市場反過來不易干涉美國，呈現非對稱影響效果。歐洲兩國能互相傳染，英國對德國的影響較大，也更有能力影響美國，稱英國為歐洲的影響輸出國，德國為歐洲的影響輸入國。 zh_TW dc.description.tableofcontents 第一章 緒論1第二章 文獻回顧 32.1 相互激勵Hawkes過程 32.2 跳躍偵測 32.3 金融傳染 4第三章 研究目的 5第四章 研究方法 64.1 衡量連續波動與偵測跳躍項 64.2 相互激勵過程 94.3 最大概似估計 11第五章 實證分析 155.1 實證資料 155.2 資料處理 155.3 敘述統計 155.4 參數估計結果 245.4.1 單變量模型 245.4.2 雙變量模型 265.4.3 三變量模型 27第六章 結論與建議 31參考文獻 32 zh_TW dc.format.extent 1035445 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G1043520341 en_US dc.subject (關鍵詞) 跳躍風險 zh_TW dc.subject (關鍵詞) 金融傳染 zh_TW dc.subject (關鍵詞) Hawkes過程 zh_TW dc.subject (關鍵詞) 自我激勵過程 zh_TW dc.subject (關鍵詞) 相互激勵過程 zh_TW dc.subject (關鍵詞) Jump risk en_US dc.subject (關鍵詞) Financial contagion en_US dc.subject (關鍵詞) Hawkes process en_US dc.subject (關鍵詞) Self-exciting process en_US dc.subject (關鍵詞) Mutually-exciting process en_US dc.title (題名) 金融大數據之應用 : Hawkes相互激勵模型於跨市場跳躍傳染現象之實證分析 zh_TW dc.title (題名) Empirical Analysis on Financial Contagion using Hawkes Mutu-ally Exciting Model en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) [1] Aït-Sahalia, Y., Cacho-Diaz, J., & Laeven, R. J. (2015). Modeling financial con-tagion using mutually exciting jump processes. Journal of Financial Econom-ics, 117(3), 585-606.[2] Aït-Sahalia, Y., Laeven, R. J., & Pelizzon, L. (2014). Mutual excitation in Euro-zone sovereign CDS. Journal of Econometrics, 183(2), 151-167.[3] Andersena, T. G., Bollerslevb, T., & Dieboldc, F. X. (2005). Some Like it Smooth, and Some Like it Rough: Disentangling Continuous and Jump Compo-nents in Measuring.[4] Barndorff-Nielsen, O. E., & Shephard, N. (2004). Power and bipower variation with stochastic volatility and jumps. Journal of Financial Econometrics, 2(1), 1-37.[5] Barndorff-Nielsen, O. E., & Shephard, N. (2006). Econometrics of testing for jumps in financial economics using bipower variation. Journal of Financial Econometrics, 4(1), 1-30.[6] Hawkes, A. G. (1971). Spectra of some self-exciting and mutually exciting point processes. Biometrika, 58(1), 83-90.[7] Huang, X., & Tauchen, G. (2005). The relative contribution of jumps to total price variance. Journal of Financial Econometrics, 3(4), 456-499.[8] Ozaki, T. (1979). Maximum likelihood estimation of Hawkes` self-exciting point processes. Annals of the Institute of Statistical Mathematics, 31(1), 145-155.[9] Vere-Jones, D. (1970). Stochastic models for earthquake occurrence. Journal of the Royal Statistical Society. Series B (Methodological), 1-62. zh_TW
