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    Title: 風險與報酬之間的關係-不對稱MIDAS模型的應用
    The Relation between Risk and Return-The Application of ASYMIDAS model
    Authors: 蔡宗泰
    Contributors: 饒秀華、徐士勛
    蔡宗泰
    Keywords: 風險
    報酬
    GARCH
    ICAPM
    GED分配
    Date: 2011
    Issue Date: 2012-10-30 11:32:05 (UTC+8)
    Abstract: 風險和報酬彼此之間的關係常常都是資產持有者所關心的,人們願意承受高風險以換取高報酬的情形,似乎相當地合乎直覺,然而學者使用不同模型來估計風險趨避係數,卻發現結果大不相同,而本文採2000年到2010年的台灣加權股價指數報酬率為樣本,延續前人研究利用了不對稱每日報酬平方(Asymmetric MIDAS) 、三個不對稱GARCH in Mean模型: Asymmetric GARCH(1,1)-M,Exponential GARCH(1,1)-M還有考慮金融資產報酬率通常非為常態分配的設定下採取的Exponential GARCH(1,1)-M(GED分配)所計算的條件變異數來替代風險,置入跨期資本資產定價模型(Intertemporal CAPM, ICAPM)來估計風險趨避係數。結果發現Asymmetric MIDAS估計者為正值且顯著,而不對稱GARCH模型下僅有EGARCH(1,1)-M(GED分配)所估計者於金融風暴兩年子樣本期間為正值但不顯著外,其餘皆為負值且不顯著。
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    參考書目
    謝劍平,2008,《財務管理新觀念與本土化》,台北:致勝文化事業有限公司
    Description: 碩士
    國立政治大學
    經濟學系
    99258010
    100
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0099258010
    Data Type: thesis
    Appears in Collections:[經濟學系] 學位論文

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