政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/50622
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文筆數/總筆數 : 113656/144643 (79%)
造訪人次 : 51734823      線上人數 : 585
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜尋範圍 查詢小技巧：
  • 您可在西文檢索詞彙前後加上"雙引號"，以獲取較精準的檢索結果
  • 若欲以作者姓名搜尋，建議至進階搜尋限定作者欄位，可獲得較完整資料
    •  進階搜尋


    請使用永久網址來引用或連結此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/50622


    題名: Price Errors from Thin Markets and Their Corrections: Studies Based on Taiwan`s Political Futures Markets
    作者: 陳樹衡
    Chen, Shu-Heng;Wu, Wei-Shao
    貢獻者: 政治大學經濟系
    日期: 2009
    上傳時間: 2011-07-28 10:36:25 (UTC+8)
    摘要: While it has been claimed in many empirical studies that the political futures market can forecast better than the polls, it is unclear upon which our forecast should be based. Standard practice seems to suggest the use of the closing price of the market, as a reflection of the continuous process of information revealing and aggregation, but we are unsure that this practice applies to thin markets. In this chapter, we propose a number of reconstructions of the price series and use the closing price based on these reconstructed series as the forecast. We then test these ideas by comparing their forecasting performance with the closing price of the original series. It is found that forecasting accuracy can be gained if we use the closing price based on the smoothing series rather than the original series. However, there is no clear advantage by either using more sophisticated smoothing techniques, such as wavelets, or using external information, such as trading volume and duration time. The results show that the median, the simplest smoothing technique, performs rather well when compared with all complications.
    關聯: Advances in Econometrics, Vol.24, pp.1-25
    資料類型: article
    DOI 連結: http://dx.doi.org/
    DOI: 
    顯示於類別:[經濟學系] 期刊論文

    文件中的檔案:

    檔案 描述 大小格式瀏覽次數
    index.htmllink to fulltext of this document 0KbHTML21348檢視/開啟
    index.htmllink to library catalog0KbHTML21679檢視/開啟


    在政大典藏中所有的資料項目都受到原著作權保護.


    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 ©   - 回饋