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    題名: 多元自迴歸條件異質變異數之模型設定研究
    作者: 欉清全
    Tung, Genius
    貢獻者: 汪義育
    欉清全
    Genius Tung
    關鍵詞: 穩健統計量
    非恆定
    共積
    準最大概似估計式
    因素分析
    robust statistics
    Co-integration
    unit root
    Multivariate ARCH
    日期: 1993
    上傳時間: 2016-04-29 16:43:32 (UTC+8)
    摘要: 經濟理論明白揭示，在不確定下，金融性資產的選擇不僅要考慮其未來報
    參考文獻: 參考書目
    一、中文部分
    何祖平，中華民國八十年七月，多元自迴歸條件異質變異數模型--國際主要貨幣關聯性之研究，國立政治大學國際貿易研究所碩士論文
    行政院經濟建設委員會經濟研究處，中華民國八十年六月三十日，短期總體經濟預測。
    二、英文部分
    Baillie , Richard T. Tim Bollerslev,1990,A multivariate generalized
    ARCH approach to modeling risk premia in forward foreign rate markets
    , Journal of International Money and Finance 9,309-324.
    Bollerslev Tim,19S6,Generalized autoregressive conditional heteroskedas-ticity,
    Journal of Econometrics 31,307-327.
    Bollerslev Tim,1990,A Unified Approach To Robust, Regression- Based
    Specification Tests, Econometric Theory 6,17-43.
    Bollerslev Tim, Ray Y. Chou & Kenneth F.Kroner,1992, ARCH mod-elling
    in finance, Journal of Econometrics 5?,5-59 .
    Dickey, D.A. and W.A. Fuller, 19S1,Likelihood Ratio Statistics for Autoregressive
    Time Series With A Unit Root ,Econometrica, 49,4,1057-1079.
    Diebold, Francis X. and Mark Nerlove,1989,The dynamics of exchange
    rate volatility: A muitivariate latent factor ARCH model, Journal of
    Applied Econometrics 4,1-21.
    Diebold, Francis. X. and Peter Pauly,1988b,Has the EMS reduced member
    country exchange rate volatility?, Empirical Economics 13,81-102.
    Engle, Ro bert F .1982,Autoregressive conditional heteroskedasticity with
    estimates of the variance of U.K. inflation, Econometrica 50,987-1008.
    Engle, Robert F.1983,Estimates of the variance of U.S. inflation based
    on the ARCH model, Journal of Money, Credit and Banking 15, 286-301.
    Engle, Robert F ., Clive W.J.Granger,1987,Cointergration and Error Correction:
    Representation, Estimation and Testing, Econometrica,55,2,251-276.
    Engle, Robert F. and Tim Bollerslev,1986,Modelling the persistence of
    conditional variances ,Econometric Review 5,1-50,81-87.
    Engle, Robert F. and Tim Bollerslev,1989,Common Persistent in Conditional
    Variance, U. C. San Diego Discussion Paper ,89-54.
    Engle, Robert F. and Victor K.Ng,1990 , An examination of the impact
    of volatility shocks on the short end of the term structure based on a factor-ARCH model for treasury bills, Journal of Econometrics,45,213-237.
    Engle, Robert F. ,Clive W.J. Granger, and Dennis F .Kraft ,1984, Combination
    competing forecasts of inflation using a bivariate ARCH model,
    Journal of Economic Dynamics and Control 8,151- 165.
    Engle, Robert F. David M. Lilien, and Russel P. Robins, 1987, Estimating
    time varying risk premia in the term structure: The ARCH-M
    model, Econometrica 55,391-407.
    Fama,Eugene,F.,1965,The behavior of stock market prices, Journal
    of Business 38,34-105 .
    Hsieh, David A. ,1989a,Modelling heteroskedasticity III daily foreign
    exchange rates , Journal of Business and Economic Statistics 1,307-31 7.
    Kroner, Kenneth F .and Stijn Claessens,1991 ,Optimal currency composition
    of external debt: Applications to Indonesia and Turkey ,Journal
    of International Money and Finance 10,131-148.
    Lee, Tom K., 1988,Does conditional covariance or variance explain time
    varying risk premia in foreign exchange return? ,Economics Letters 21,371-373.
    Milhoj ,Anders ,1987a,A conditional variance model for daily observations
    of an exchange rate, Journal of Business and Economic Statistics5,99-103.
    Taylor, Stephen J ,.1986,Modelling Financial Time Series (Wiley, New York, NY).
    Tim Bollerslev & Jeffrey M.vVooldridge,1992,Quasi-Maximum Likelihood
    Estimation and Inference In Dynamic Models With Time Varying
    Covariances, Econometric Reviews 11(2),147-172.
    White,Halbert,1982,Maximum likelihood estimation of misspecified
    models, Econometrica 50,1-25.
    Wooldridge, Jeffrey M., Specification testing and quasi-maximum -likelihood
    estimation,1991,Journal of Econometrics 48, 29-55.
    描述: 碩士
    國立政治大學
    國際經營與貿易學系
    G80351021
    資料來源: http://thesis.lib.nccu.edu.tw/record/#B2002004172
    資料類型: thesis
    顯示於類別:[國際經營與貿易學系 ] 學位論文

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