| dc.contributor.advisor | 林金龍 | zh_TW |
| dc.contributor.author (Authors) | 陳仕偉 | zh_TW |
| dc.contributor.author (Authors) | Chen, Shyh-Wei | en_US |
| dc.creator (作者) | 陳仕偉 | zh_TW |
| dc.creator (作者) | Chen, Shyh-Wei | en_US |
| dc.date (日期) | 2000 | en_US |
| dc.date.accessioned | 1-Apr-2016 17:13:55 (UTC+8) | - |
| dc.date.available | 1-Apr-2016 17:13:55 (UTC+8) | - |
| dc.date.issued (上傳時間) | 1-Apr-2016 17:13:55 (UTC+8) | - |
| dc.identifier (Other Identifiers) | A2002000469 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/83847 | - |
| dc.description (描述) | 博士 | 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 | 封面頁 證明書 致謝詞 Contents List of Figures List of Tables 1 Introduction 2 Leading and Coincident indexes in Taiwan 2.1 Introduction 2.2 Model Specification 2.2.1 Markov-Switching Model with Fixed Transition Probability 2.2.2 Time-Varying Markov-Switching Model 2.2.3 Estimation and Algorithm 2.3 Data Description 2.4 Empirical Results 2.5 Conclusions 3 The Turning Points and Business Cycles in Taiwan 3.1 Introduction 3.2 Model Specification 3.2.1 Univariate Markov-Switching Model 3.2.2 Multivariate Dynamic Factor Model with Regime-Switching 3.3 Empirical Results 3.3.1 Data Description 3.3.2 Estimates of Univariate Markov-Switching Model 3.3.3 Estimates of Multivariate Markov-Switching Factor Model 3.3.4 Forecasting Performance 3.4 Conclusions 4 Stock Market Volatility in Taiwan 4.1 Introduction 4.2 Model Specification 4.3 Empirical Results 4.3.1 Empirical Results of GARCH 4.3.2 Empirical Results of SWARCH 4.3.3 Comparsion between GARCH and SWARCH 4.3.4 Testing of No Regime-Switching 4.4 Conclusions Bibliography | zh_TW |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#A2002000469 | en_US |
| dc.title (題名) | 臺灣景氣循環與股票市場波動性之探討：馬可夫轉換模型之應用 | zh_TW |
| dc.title (題名) | Three Essays on Modelling Business Cycles and Stock Market Volatility in Taiwan with Markov-Switching Models | en_US |
| dc.type (資料類型) | thesis | en_US |
