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| Title: | 美中台利率期限結構馬可夫鏈模型實證
Hidden Markov Models: Term Structures for US, China and Taiwan Interest Rates |
| Authors: | 彭光裕
Peng, Guang-Yu |
| Contributors: | 廖四郎
彭光裕
Peng, Guang-Yu |
| Keywords: | 隱馬可夫模型
利率結構
跳躍擴散
Hidden Markov Models
Term structure
Jump diffusion
GARCH |
| Date: | 2019 |
| Issue Date: | 2019-08-07 16:11:26 (UTC+8) |
| Abstract: | 本文主要目的在透過建立不同模型來捕捉個別市場與相異天期的利率特徵，並以美中台自2008年一月金融海嘯前到美中貿易戰展開後的2019年四月的利率作為實證研究對象。研究結果顯示以擴散模型描述的飄移項在模型中並不顯著，利率變動主要來自於變異數項而非飄移項，進一步將模型加入跳躍或馬可夫狀態轉換後飄移項的影響在大部分模型下能被更好的分辨出來。在波動的叢聚方面，加入馬可夫狀態轉換後中國與台灣波動叢聚現象明顯，美國則是在短利較為明顯；在市場槓桿效應方面各國的短利皆較長利明顯表現出不對稱的性質
This paper is to capture the term structure characteristics of interest rate markets, and provide some evidences on the US, China and Taiwan since financial crisis in January 2008. We find out that the simple Geometrical Brownian Motion cannot capture the market turbulence, the model perform better while Markov Switch or Jump Process was introduced. In terms of volatility clustering, China and Taiwan is obvious, while the United States is significant only in short-term interest. And in the leverage effect, the asymmetric properties are more obvious in short-term interest in both three markets. |
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| Description: | 碩士
國立政治大學
金融學系
106352023 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0106352023 |
| Data Type: | thesis |
| DOI: | 10.6814/NCCU201900196 |
| Appears in Collections: | [金融學系] 學位論文
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