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    题名: 用馬可夫鏈蒙地卡羅法估計隨機波動模型：台灣匯率市場的實證研究
    作者: 賴耀君
    Lai,Simon
    贡献者: 毛維凌
    賴耀君
    Lai,Simon
    关键词: 隨機波動模型
    馬可夫鏈蒙地卡羅法
    貝氏估計
    適應性拒絕抽樣法
    槓桿效果
    厚尾分配
    Gibbs sampler
    scale mixture
    Metropolis-Hastings
    (c) Geweke convergence diagnostic
    日期: 2002
    上传时间: 2009-09-18 15:52:30 (UTC+8)
    摘要: 針對金融時序資料變異數不齊一的性質，隨機波動模型除了提供於ARCH族外的另一選擇；且由於其設定隱含波動本身亦為一個隨機波動函數，藉由設定隨時間改變且自我相關的條件變異數，使得隨機波動模型較ARCH族來得有彈性且符合實際。傳統上處理隨機波動模型的參數估計往往需要面對到複雜的多維積分，此問題可藉由貝氏分析裡的馬可夫鏈蒙地卡羅法解決。本文主要的探討標的，即在於利用馬可夫鏈蒙地卡羅法估計美元/新台幣匯率隨機波動模型參數。除原始模型之外，模型的擴充分為三部分：其一為隱含波動的二階自我回歸模型；其二則為藉由基本模型的修改，檢測匯率市場上的槓桿效果；最後，我們嘗試藉由加入scale mixture的方式以驗證金融時序資料中常見的厚尾分配。
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    描述: 碩士
    國立政治大學
    經濟研究所
    87258020
    91
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    数据类型: thesis
    显示于类别:[經濟學系] 學位論文

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