| dc.contributor.advisor | 鍾經樊 | zh_TW |
| dc.contributor.author (Authors) | 邱顯一 | zh_TW |
| dc.creator (作者) | 邱顯一 | zh_TW |
| dc.date (日期) | 2006 | en_US |
| dc.date.accessioned | 18-Sep-2009 16:06:28 (UTC+8) | - |
| dc.date.available | 18-Sep-2009 16:06:28 (UTC+8) | - |
| dc.date.issued (上傳時間) | 18-Sep-2009 16:06:28 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0932580162 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/35813 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 經濟研究所 | zh_TW |
| dc.description (描述) | 93258016 | zh_TW |
| dc.description (描述) | 95 | zh_TW |
| dc.description.abstract (摘要) | 本文採用 Chib， Nardari， 與 Shephard(2006) 的多變量動態因子隨機波動模型(MSV)， 來探討美、日、台三國的資訊、電腦類股股價報酬率波動的共同行為。 我們將模型中的因子解釋為產業的前景或信心，並藉由模擬的方式描繪出其樣貌，進而希望了解產業景氣循環在股價的波動行為中扮演什麼角色。 研究財務市場間的關聯性一值是一項重要的課題，也發展出各種的模型來描述既有的現象。 MSV 模型將看不到的解釋變量數量化，並將變數的波動行為切割為可由因子所解釋與不能解釋的部分。 且藉由將觀察值的誤差項以及單一因子的波動行為設定為隨機波動，放寬共變數變異數矩陣為定值的假設，讓每一時點都能依時變動，在同類的模型中對資料的設定是較少的。 在實證分析中我們有幾點發現：1. 因子能夠解釋資產間的波動行為，其反映在扣除因子波動之後的自有波動，其波動水準值的降低。 2. 在股價波動劇烈期間，因子解釋能力提高。 3. 因子的解釋能力在不同的國家中差異幅度很大，日本有超過一半的波動可以為因子的波動所解釋，而因子在台灣股價的波動行為只有兩成左右的解釋能力。 | zh_TW |
| dc.description.tableofcontents | 目錄緒論-------------------------------------------------------1文獻回顧----------------------------------------------------3因子隨機波動模型---------------------------------------------8模型估計---------------------------------------------------10實證結果---------------------------------------------------21結論建議---------------------------------------------------30附錄------------------------------------------------------31參考書目--------------------------------------------------40 | zh_TW |
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| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0932580162 | en_US |
| dc.subject (關鍵詞) | 多變量隨機波動模型 | zh_TW |
| dc.subject (關鍵詞) | 蒙地卡羅馬可夫鏈 | zh_TW |
| dc.subject (關鍵詞) | 因子分析 | zh_TW |
| dc.subject (關鍵詞) | Multivariate Stochastic Volatility | en_US |
| dc.subject (關鍵詞) | Markov Chain Monte Carlo | en_US |
| dc.subject (關鍵詞) | Factor Analysis | en_US |
| dc.title (題名) | 多變量動態因子隨機波動模型－美,日,台股市報酬率之研究 | zh_TW |
| dc.type (資料類型) | thesis | en |
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