運用誤差指數異質變異數模型(EC-EGARCH) 狀態轉換指數異質變異數模型(RS-EGARCH)及混

【作者(必填)】鄭育燕

【文题(必填)】運用誤差指數異質變異數模型(EC-EGARCH) 狀態轉換指數異質變異數模型(RS-EGARCH)及混合模型(Hybrid)在外匯現貨與期貨價格的預測能力

【年份(必填)】2008

【全文链接或数据库名称(选填)】http://ir.lib.ncku.edu.tw/handle/987654321/31045

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诗成 发表于 2012-4-2 17:48
以人品担保，绝对是你要的。全文96页，英文版的。不过2000币。我不强迫你下，但希望你能尊重我，不下载也不 ...

这是目录：Chapter1 Introduction.....................................1
1.1 Purpose and Motivation...............................1
1.2 Structure of the Research............................3
Chapter2 Literature Review................................4
2.1 Foreign Exchange Rates is Spot and Futures...........4
2.1.1 British Pound.....................................4
2.1.2 Japanese Yen......................................5
2.1.3 Swiss Franc.......................................6
2.2 Exchange Rate Theories...............................8
2.2.1 ARIMA.............................................8
2.2.2 Error Correction model and GARCH..................9
2.2.3 Relative Studies about Regime-Switching Model....10
2.2.4 Relative Studies about Genetic Algorithms........13
Chapter3 Data and Methodology............................15
3.1 Stationarity Test...................................15
3.2 Cointegration Test..................................16
3.3 Error Correction Model (ECM)........................17
3.4 Bivariate Exponential GARCH (EGARCH) Model..........18
3.4.1. ARCH model......................................18
3.4.2 GARCH Model......................................19
3.4.3 EGARCH model.....................................20
3.5 Conditional mean and variance with Markov
   Regime-Switching Model.............................22
3.6 EC-EGARCH with Genetic Algorithms (EC-EGARCHGA) and
   RS-EGARCH with Genetic Algorithms (RS-EGARCHGA).....26
3.7 The test of performance among the chosen models.....27
Chapter4 Empirical Results and Analysis..................29
4.1 Stationarity Test...................................29
4.2 Cointegration Test..................................29
4.3 Bivariate EC-EGARCH Model...........................30
4.4 Predictive Power for Spot and Futures Exchange Rate.32
4.4.1 Precision of Prediction..........................33
Chapter5 Conclusions and Suggestions.....................52
5.1 Conclusion..........................................52
5-2 Suggestion..........................................53
References...............................................54
Appendix 1...............................................58
Appendix 2...............................................64
Appendix 3...............................................70
Appendix 4...............................................73