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系統識別號 U0002-2905200615110100
中文論文名稱 動態結構性變化之監控
英文論文名稱 Monitoring Structural Change in Dynamic Econometric Models
校院名稱 淡江大學
系所名稱(中) 財務金融學系碩士班
系所名稱(英) Department of Banking and Finance
學年度 94
學期 2
出版年 95
研究生中文姓名 王怜又
研究生英文姓名 Ling-Yo Wang
學號 693490764
學位類別 碩士
語文別 中文
口試日期 2006-05-06
論文頁數 67頁
口試委員 指導教授-李命志
委員-俞海琴
委員-邱建良
委員-姜淑美
委員-李命志
中文關鍵字 結構性變化  監控  波動性檢定  預測 
英文關鍵字 structural change  monitor  fluctuation test  forecast 
學科別分類 學科別社會科學商學
中文摘要 本研究利用傳統的F test、OLS-CUSUM test、ME test 以及Zeileis, Leisch, Hornik, and Kleiber(2005)提出的監控的一般化波動性檢定,探討美國西德州中級原油、布蘭特原油與S&P500大盤指數之月報酬率是否存在結構性變化,希望找出最符合實際的模型建構方法。然後再引用McCraken(2004)和Clark and McCraken (2001)所提出的預測方法及預測能力比較找出結構性變化點是否顯著改善模型預測能力。
實證結果顯示,三者在使用傳統的檢定方法下多無法找出結構性變化,但使用監控的一般化波動性檢定法則可找到結構性變化。而在預測的顯著性檢定上,布蘭特原油月報酬率與美國西德州中級原油月報酬率之滾動預測皆為顯著,表示此兩項預測模型在考慮結構性轉變後能增加模型的準確度。
英文摘要 This research consider a wide array of fluctuation-type tests in a monitoring situation—given a history period for which a regression relationship is known to be stable, we test whether incoming data are consistent with the previously established relationship. We apply our methods to three data sets, returns of West Texas Intermediate oil, returns of Brent crude oil, and S&P 500 stock returns. Then, we generate simulated out-of-sample forecasts, forecast errors, and tests of mean square error (MSE) for a pair of nested models (the first model is a restricted version of the second) of a scalar prediction. The empirical results included that: (1) we can find structural changes from these three data sets by the generalized fluctuation test for monitoring. (2) the rolling forecast models of returns of WTI oil and returns of Brent crude oil both display that considering the factor of structure change will increase the power of forecast.
論文目次 目錄

第一章 緒論..............................................1
第一節 研究動機與目的....................................1
第二節 研究架構..........................................2
第二章 文獻探討..........................................3
第一節 結構性變化研究方向之演進..........................3
第二節 研究方法之相關理論................................7
第三節 考慮結構性變化之其他模型及研究....................9
第三章 研究方法.........................................23
第一節 模型.............................................24
第二節 監控的一般化波動性檢定...........................26
第三節 以估計為基礎的模型調整...........................30
第四節 臨界值...........................................33
第五節 預測方法及績效評估...............................35
第四章 實證結果與分析...................................38
第一節 資料來源與處理...................................38
第二節 結構性變化點的檢定...............................40
第三節 模型預測績效比較.................................51
第五章 結論.............................................54
參考文獻.................................................56
附錄.....................................................63


圖目錄

圖1.1 研究流程圖 ........................................2
圖4.1 美國西德州中級原油現貨價格走勢圖.................39
圖4.2 布蘭特原油現貨價格走勢圖.........................39
圖4.3 S&P500大盤指數走勢圖.............................39
圖4.4 美國西德州中級原油月報酬率走勢圖.................40
圖4.5 美國西德州中級原油月報酬率F值走勢圖..............41
圖4.6 美國西德州中級原油月報酬率OLS-CUSUM TEST波動過程圖 ................................................41
圖4.7 美國西德州中級原油月報酬率ME TEST波動過程圖......42
圖4.8 美國西德州中級原油月報酬率在H=1下之ME TEST監控圖.43
圖4.9 美國西德州中級原油月報酬率在H=0.5下之ME TEST監控圖 ................................................43
圖4.10 布蘭特原油月報酬率走勢圖.........................44
圖4.11 布蘭特原油月報酬率F值走勢圖......................44
圖4.12 布蘭特原油月報酬率OLS-CUSUM TEST波動過程圖.......45
圖4.13 布蘭特原油月報酬率ME TEST波動過程圖..............45
圖4.14 布蘭特原油月報酬率在H=1下之ME TEST監控圖.........46
圖4.15 布蘭特原油月報酬率在H=0.5下之ME TEST監控圖.......46
圖4.16 S&P500股票指數月報酬率走勢圖.....................47
圖4.17 S&P500股票指數月報酬率F值走勢圖..................47
圖4.18 S&P500股票指數月報酬率OLS-CUSUM TEST波動過程圖...48
圖4.19 S&P500股票指數月報酬率ME TEST波動過程圖..........48
圖4.20 S&P500股票指數月報酬率在H=1下之ME TEST監控圖.....49
圖4.21 S&P500股票指數月報酬率在=0.5下之ME TEST監控圖....49


表目錄

表 2.1 結構性變化相關理論...............................17
表 2.2 與結構性變化相關實證研究.........................20
表 4.1 結構性變化點檢定結果.............................50
表 4.2 美國西德州中級原油月報酬率預測績效...............51
表 4.3 布蘭特原油月報酬率預測績效.......................51
表 4.4 S&P500股票指數月報酬率預測績效...................52
表 4.5 預測能力顯著性檢定...............................52

參考文獻 一、國內參考文獻

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10.高櫻芬、呂仁廣宇林建甫(2001),「變異數結構改變的SWARCH模型估計:台灣股價報酬之實證研究」,證券市場發展季刊,13:1,63-98頁。

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13.陳仕偉、蔡兆龍(2003),「台灣景氣循環特性之探討:馬可夫轉換模型的應用」,台灣銀行季刊,54:1,1-27。

14.楊明憲、楊奕農(2003),「生產效率估計之非線性考量:平滑轉換迴歸在台灣農業部門生產效率估計之應用」,農業經濟半年刊,74,1-22。

15.廖皎利(2005),「利率對大型股與小型股走勢之結構性變化—以美國為實證」,淡江大學財務金融系碩士論文。

16.黎明淵、林修葳、郭憲章與楊聲勇(2003),「美、日股市巨幅波動下的股市連動效果—美國、日本與亞洲四小龍股市實證結果」,證券市場發展季刊,15:1,117-145頁。

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