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    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
    作者: 邱顯一
    貢獻者: 鍾經樊
    邱顯一
    關鍵詞: 多變量隨機波動模型
    蒙地卡羅馬可夫鏈
    因子分析
    Multivariate Stochastic Volatility
    Markov Chain Monte Carlo
    Factor Analysis
    日期: 2006
    上傳時間: 2009-09-18 16:06:28 (UTC+8)
    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。
    參考文獻: Aguilar, West (2000) "Bayesian dynamic factor models and portfolio allocation." Journal of Business and Economic Statistic.
    Bauwens, Laurent, Rombouts (2004) "Multivariate garch: A survey." Journal of Applied Econometrics.
    Chib, Greenberg (1995) "Understanding the metropolis-hastings algorithm." The American Statistican.
    Chib, Nardari, Shephard (2002) "Markov chain monte carlo methods for stochastic volatility models." Journal of Econometrics.
    ---(2006) "Analysis of high dimensional multivariate stochastic volatility models." Journal of Econometrics.
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    ---(1981) "Likelihood ratio statistics for autoregressive time series with a unit root." Econometrica
    Durbin, Koopman (2002) Time Series Analysis by State Space Methods. Oxford University Press.
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    Grubel, (1968) "International diversified portfolios: Welfare gains and capital flows." American Economic Reviews.
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    Jacquier, Polson, Rossi (1994) "Bayesian analysis of stochastic volatility models." Journal of Business and Economic Statistics.
    ---(2004) "Bayesian analysis of stochastic volatility models with fat-tails and correlated errors." Journal of Econometrics.
    Kim, Shephard, Chib (1998) "Stochastic volatility: Likelihood inference and comparison with arch models." Reviews of Economic Studies.
    Koopman, Sandmann (1998) "Estimation of stochastic volatility models via monte carlo maximum likelihood." Journal of Econometrics.
    Liesenfeld, Richard (2003) "Univariate and multivariate stochastic volatility models: Estimation and diagonotics." Journal of Empirical Finance.
    Lin, Engle, Ito (1994) "International transimission of stock returns and volatility." The Reviews of Financial Studies.
    Markowitz (1952) "Portfolio selection" Journal of Finance.
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    Taylor (1982) "Financial returns modelled by the product of two stochastic processes - a study of the daily sugar prices." Time Series Analysis: Theory and Practice.
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    描述: 碩士
    國立政治大學
    經濟研究所
    93258016
    95
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0932580162
    資料類型: thesis
    顯示於類別:[經濟學系] 學位論文

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