政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/30901
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 113451/144438 (79%)
Visitors : 51328392      Online Users : 831
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
    •  Adv. Search
    Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer Goto mobile version


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/30901


    Title: 卡方適合度檢定檢驗關聯結構之研究-以台灣股票市場日內資料為例
    Authors: 官振民
    Contributors: 劉惠美
    官振民
    Keywords: 關聯結構
    卡方適合度檢定
    最小卡方估計值
    日內資料
    Date: 2005
    Issue Date: 2009-09-14
    Abstract: 在資料變數間的邊際分配不再是常態，變數間的相依性不只是線性關係時，將考慮直接對資料配適關聯結構。爲了瞭解一個二元的關聯結構的配適是否適當，則以卡方適合度檢定的方式來檢驗。首先以蒙地卡羅法做模擬，觀察此方法的以最小卡方估計值的參數估計、顯著水準和檢定力等，藉此瞭解以卡方適合度檢定法檢定後所做的結論是否能相信。最後以台灣股票市場中電子類股、電機機械類股、汽車類股和其他類股這四種類股兩兩間的日內資料分別半點資料、整點資料和兩點資料對Gauss 關聯結構、t 關聯結構、Clayton 關聯結構、Frank 關聯結構和Gumbel 關聯結構等五種關聯結構模型以卡方適合度檢定法檢驗其配適的狀況，最後在這五種單一參數關聯結構的配適中，以t 關聯結構自由度在3和4時表現最好。
    Reference: 參考文獻
    一.中文文獻
    1. 賴柏志，(2004)「關聯結構(copula)在信用風險管理之運用」，金融風險管理季刊，民國九十三年九月號。
    一.英文文獻
    1. Dobrić, J. and Schmid, F. (2005),"Testing Goodness of Fit for Parametric Families of Copulas -- Application to Financial Data." Communications in Statistics: Simulation and Computation, 34,pp.1053-1068.
    2. Embrechts P., McNeil A.J. and Straumann D. (1999), "Correlation And Dependence In Risk Management: Properties And Pitfalls. ", Risk, volume 12 number 5 p69 -71
    3. Embrechts P., McNeil A. J. and Straumann D. (2001),Handbook of heavy tailed distributions in finance. ,Amsterdam : Boston : Elsevier, 2003
    4. Gan, Q. (2002),"Modelling the Return Distributions of Multivariate Intra-day FX Series: A Comparative Study.",Technical report, ETH Zurich.
    5. Greenwood, P. E. and Nikulin, M. S. (1996),"A Guide to Chi-squared Testing.", New York: Wiley.
    6. Nelsen, R. B. (1999),An Introduction to Copulas. New York : Springer
    Description: 碩士
    國立政治大學
    統計研究所
    93354014
    94
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0093354014
    Data Type: thesis
    Appears in Collections:[Department of Statistics] Theses

    Files in This Item:

    File SizeFormat
    index.html0KbHTML2274View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback