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題名 匯率預測模型之分析與比較
Analysis of exchange rates forecasting models
作者 謝耀慶
Hsieh, Yao Ching
貢獻者 郭維裕
Kuo, Weiyu
謝耀慶
Hsieh, Yao Ching
關鍵詞 Technical trading rules
Market Models
Fundamental Models
Exchange rates
Predictability
日期 2008
上傳時間 2009-09-14
摘要 In this research, we review the relevant literatures to discuss the predictability of foreign exchange rates. Besides, we collect literatures to examine the development of the fundamental models, market models, technical analysis and trading rules and compare and evaluate the precision of these models. Moreover, we make a case study of a global leading investment bank to discuss how to use these models in practice. The result shows that fundamental models can help to establish the long-term equilibrium but have some shortcomings and thus we could adopt market models to resolve the shortages and the technical analyses and rules to set the exact price levels for trading purposes.
第一章 Introduction-----p.2
     第二章 Model review-----p.4
     第三章 Case study-----p.12
     第四章 Concluding remarks-----p.16
參考文獻 1. Siddique, Akhtar., Sweeney, Richard J. (1998), Forecasting Real Exchange Rates, Journal of International Money and Finance, 17,pp. 513- 534.
2. Ahmad Zubaidi Baharumshah., Sen, Liew Khim., Ping, Lim Kian. (2003), Exchange Rates Forecasting Model: An Alternative Estimation Procedure.
3. Rossi, Barbara. (2005), Are Exchange Rates Really Random Walks? Some Evidence Robust to Parameter Instability.
4. LeBaron, Blake. (1999), Technical trading rule profitability and foreign exchange intervention, Journal of International Economics, 49,pp. 125–143.
5. Brooks, Chris., Hinich, Melvin J. (2001), Bicorrelations and Cross-bicorrelations as Non-linearity Tests and Tools for Exchange Rate Forecasting, Journal of Forecasting, 20,pp. 181-196.
6. Neely, Christopher J. (2002), The temporal pattern of trading rule returns and exchange rate intervention: intervention does not generate technical trading profits, Journal of International Economics, 58,pp. 211–232.
7. Neely, C.J., Weller, P.A. (2003), Intraday technical trading in the foreign exchange market, Journal of International Money and Finance, 22, pp. 223–237.
8. Neely, Christopher J., Sarno, Lucio. (2002), How well do monetary fundamentals forecast exchange rates? Federal Reserve Bank of ST. Louis.
9. Olson, Dennis. (2004), Have trading rule profits in the currency markets declined over time?, Journal of Banking & Finance, 28,pp. 85–105.
10. Moerman, Gerard A. (2001), UNPREDICTABLE AFTER ALL? A SHORT NOTE ON EXCHANGE RATE PREDICTABILITY, Journal of Economic Literature.
11. Boero, Gianna., Marrocu, Emanuela. (2002), The Performance of Non-linear Exchange Rate Models: a Forecasting Comparison, Journal of Forecasting, 21, pp. 513–542.
12. Zimmermann, Georg., Neuneier, Ralph. (2001), MULTI-AGENT MARKET MODELING OF FOREIGN EXCHANGE RATES, Advances in Complex Systems, Vol. 4, no. 1, pp. 29-43.
13. Dewachter, Hans. (2001), Can Markov switching models replicate chartist profits in the foreign exchange market? Journal of International Money and Finance, 20,pp. 25-41.
14. De Gooijer, Jan G., Ray, Bonnie K., Krager, Horst. (1998), Forecasting Exchange Rates using TSMARS, Journal of International Money and Finance, 17,pp. 513- 534.
15. Aries, Morgan., Giromini, Gianfranco., Meissner, Gunter. (2006), A Model for A Fair Exchange Rate, Review of Pacific Basin Financial Markets and Policies Vol. 9, No. 1,pp. 51-66.
16. Mohi-uddin, Mansoor. (2005), A Review of Foreign Exchange Models, UBS Investment Research, London.
17. Mohi-uddin, Mansoor. (2006), Key Factors for the USD, UBS Investment Research, London.
18. Mohi-uddin, Mansoor. (2005), A Model for the EUR, UBS Investment Research, London.
19. McCrae, Michael., Lin, Yan-Xia., Pavlik, Daniel., Gulati, Chandra M. (2002), Can Cointegration-based Forecasting Outperform Univariate Models? An Application to Asian Exchange Rates, Journal of Forecasting, 21, pp. 355-380.
20. Sarantis, Nicholas. (1999), Modeling non-linearities in real effective exchange rates, Journal of International Money and Finance, 18, pp. 27- 45.
21. Saacke, Peter. (2002), Technical analysis and the effectiveness of central bank intervention. Journal of International Money and Finance, 21, pp.459-479.
描述 碩士
國立政治大學
管理碩士學程(AMBA)
97380020
97
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0097380020
資料類型 thesis
dc.contributor.advisor 郭維裕zh_TW
dc.contributor.advisor Kuo, Weiyuen_US
dc.contributor.author (作者) 謝耀慶zh_TW
dc.contributor.author (作者) Hsieh, Yao Chingen_US
dc.creator (作者) 謝耀慶zh_TW
dc.creator (作者) Hsieh, Yao Chingen_US
dc.date (日期) 2008en_US
dc.date.accessioned 2009-09-14-
dc.date.available 2009-09-14-
dc.date.issued (上傳時間) 2009-09-14-
dc.identifier (其他 識別碼) G0097380020en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/30863-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 管理碩士學程(AMBA)zh_TW
dc.description (描述) 97380020zh_TW
dc.description (描述) 97zh_TW
dc.description.abstract (摘要) In this research, we review the relevant literatures to discuss the predictability of foreign exchange rates. Besides, we collect literatures to examine the development of the fundamental models, market models, technical analysis and trading rules and compare and evaluate the precision of these models. Moreover, we make a case study of a global leading investment bank to discuss how to use these models in practice. The result shows that fundamental models can help to establish the long-term equilibrium but have some shortcomings and thus we could adopt market models to resolve the shortages and the technical analyses and rules to set the exact price levels for trading purposes.en_US
dc.description.abstract (摘要) 第一章 Introduction-----p.2
     第二章 Model review-----p.4
     第三章 Case study-----p.12
     第四章 Concluding remarks-----p.16
-
dc.description.tableofcontents 第一章 Introduction-----p.2
     第二章 Model review-----p.4
     第三章 Case study-----p.12
     第四章 Concluding remarks-----p.16
zh_TW
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0097380020en_US
dc.subject (關鍵詞) Technical trading rulesen_US
dc.subject (關鍵詞) Market Modelsen_US
dc.subject (關鍵詞) Fundamental Modelsen_US
dc.subject (關鍵詞) Exchange ratesen_US
dc.subject (關鍵詞) Predictabilityen_US
dc.title (題名) 匯率預測模型之分析與比較zh_TW
dc.title (題名) Analysis of exchange rates forecasting modelsen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) 1. Siddique, Akhtar., Sweeney, Richard J. (1998), Forecasting Real Exchange Rates, Journal of International Money and Finance, 17,pp. 513- 534.zh_TW
dc.relation.reference (參考文獻) 2. Ahmad Zubaidi Baharumshah., Sen, Liew Khim., Ping, Lim Kian. (2003), Exchange Rates Forecasting Model: An Alternative Estimation Procedure.zh_TW
dc.relation.reference (參考文獻) 3. Rossi, Barbara. (2005), Are Exchange Rates Really Random Walks? Some Evidence Robust to Parameter Instability.zh_TW
dc.relation.reference (參考文獻) 4. LeBaron, Blake. (1999), Technical trading rule profitability and foreign exchange intervention, Journal of International Economics, 49,pp. 125–143.zh_TW
dc.relation.reference (參考文獻) 5. Brooks, Chris., Hinich, Melvin J. (2001), Bicorrelations and Cross-bicorrelations as Non-linearity Tests and Tools for Exchange Rate Forecasting, Journal of Forecasting, 20,pp. 181-196.zh_TW
dc.relation.reference (參考文獻) 6. Neely, Christopher J. (2002), The temporal pattern of trading rule returns and exchange rate intervention: intervention does not generate technical trading profits, Journal of International Economics, 58,pp. 211–232.zh_TW
dc.relation.reference (參考文獻) 7. Neely, C.J., Weller, P.A. (2003), Intraday technical trading in the foreign exchange market, Journal of International Money and Finance, 22, pp. 223–237.zh_TW
dc.relation.reference (參考文獻) 8. Neely, Christopher J., Sarno, Lucio. (2002), How well do monetary fundamentals forecast exchange rates? Federal Reserve Bank of ST. Louis.zh_TW
dc.relation.reference (參考文獻) 9. Olson, Dennis. (2004), Have trading rule profits in the currency markets declined over time?, Journal of Banking & Finance, 28,pp. 85–105.zh_TW
dc.relation.reference (參考文獻) 10. Moerman, Gerard A. (2001), UNPREDICTABLE AFTER ALL? A SHORT NOTE ON EXCHANGE RATE PREDICTABILITY, Journal of Economic Literature.zh_TW
dc.relation.reference (參考文獻) 11. Boero, Gianna., Marrocu, Emanuela. (2002), The Performance of Non-linear Exchange Rate Models: a Forecasting Comparison, Journal of Forecasting, 21, pp. 513–542.zh_TW
dc.relation.reference (參考文獻) 12. Zimmermann, Georg., Neuneier, Ralph. (2001), MULTI-AGENT MARKET MODELING OF FOREIGN EXCHANGE RATES, Advances in Complex Systems, Vol. 4, no. 1, pp. 29-43.zh_TW
dc.relation.reference (參考文獻) 13. Dewachter, Hans. (2001), Can Markov switching models replicate chartist profits in the foreign exchange market? Journal of International Money and Finance, 20,pp. 25-41.zh_TW
dc.relation.reference (參考文獻) 14. De Gooijer, Jan G., Ray, Bonnie K., Krager, Horst. (1998), Forecasting Exchange Rates using TSMARS, Journal of International Money and Finance, 17,pp. 513- 534.zh_TW
dc.relation.reference (參考文獻) 15. Aries, Morgan., Giromini, Gianfranco., Meissner, Gunter. (2006), A Model for A Fair Exchange Rate, Review of Pacific Basin Financial Markets and Policies Vol. 9, No. 1,pp. 51-66.zh_TW
dc.relation.reference (參考文獻) 16. Mohi-uddin, Mansoor. (2005), A Review of Foreign Exchange Models, UBS Investment Research, London.zh_TW
dc.relation.reference (參考文獻) 17. Mohi-uddin, Mansoor. (2006), Key Factors for the USD, UBS Investment Research, London.zh_TW
dc.relation.reference (參考文獻) 18. Mohi-uddin, Mansoor. (2005), A Model for the EUR, UBS Investment Research, London.zh_TW
dc.relation.reference (參考文獻) 19. McCrae, Michael., Lin, Yan-Xia., Pavlik, Daniel., Gulati, Chandra M. (2002), Can Cointegration-based Forecasting Outperform Univariate Models? An Application to Asian Exchange Rates, Journal of Forecasting, 21, pp. 355-380.zh_TW
dc.relation.reference (參考文獻) 20. Sarantis, Nicholas. (1999), Modeling non-linearities in real effective exchange rates, Journal of International Money and Finance, 18, pp. 27- 45.zh_TW
dc.relation.reference (參考文獻) 21. Saacke, Peter. (2002), Technical analysis and the effectiveness of central bank intervention. Journal of International Money and Finance, 21, pp.459-479.zh_TW