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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/111748
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/111748


    Title: 金融大數據之應用 : Hawkes相互激勵模型於跨市場跳躍傳染現象之實證分析
    Empirical Analysis on Financial Contagion using Hawkes Mutu-ally Exciting Model
    Authors: 簡宇澤
    Chien, Yu Tse
    Contributors: 林士貴
    Lin, Shih Kuei
    簡宇澤
    Chien, Yu Tse
    Keywords: 跳躍風險
    金融傳染
    Hawkes過程
    自我激勵過程
    相互激勵過程
    Jump risk
    Financial contagion
    Hawkes process
    Self-exciting process
    Mutually-exciting process
    Date: 2017
    Issue Date: 2017-08-10 09:47:32 (UTC+8)
    Abstract: 本研究使用美國、德國、英國股票指數期貨之日內交易資料,從報酬率中分離出連續波動度與跳躍項,再以MLE法估計Hawkes相互激勵過程之參數,衡量跨市場跳躍傳染現象。擴展文獻中僅兩市場的分析至三市場模型,更能從整體的角度解釋市場間的關係及跳躍傳染途徑。實證結果顯示,美國能直接影響其他市場,而其他市場反過來不易干涉美國,呈現非對稱影響效果。歐洲兩國能互相傳染,英國對德國的影響較大,也更有能力影響美國,稱英國為歐洲的影響輸出國,德國為歐洲的影響輸入國。
    Reference: [1] Aït-Sahalia, Y., Cacho-Diaz, J., & Laeven, R. J. (2015). Modeling financial con-tagion using mutually exciting jump processes. Journal of Financial Econom-ics, 117(3), 585-606.
    [2] Aït-Sahalia, Y., Laeven, R. J., & Pelizzon, L. (2014). Mutual excitation in Euro-zone sovereign CDS. Journal of Econometrics, 183(2), 151-167.
    [3] Andersena, T. G., Bollerslevb, T., & Dieboldc, F. X. (2005). Some Like it Smooth, and Some Like it Rough: Disentangling Continuous and Jump Compo-nents in Measuring.
    [4] Barndorff-Nielsen, O. E., & Shephard, N. (2004). Power and bipower variation with stochastic volatility and jumps. Journal of Financial Econometrics, 2(1), 1-37.
    [5] Barndorff-Nielsen, O. E., & Shephard, N. (2006). Econometrics of testing for jumps in financial economics using bipower variation. Journal of Financial Econometrics, 4(1), 1-30.
    [6] Hawkes, A. G. (1971). Spectra of some self-exciting and mutually exciting point processes. Biometrika, 58(1), 83-90.
    [7] Huang, X., & Tauchen, G. (2005). The relative contribution of jumps to total price variance. Journal of Financial Econometrics, 3(4), 456-499.
    [8] Ozaki, T. (1979). Maximum likelihood estimation of Hawkes' self-exciting point processes. Annals of the Institute of Statistical Mathematics, 31(1), 145-155.
    [9] Vere-Jones, D. (1970). Stochastic models for earthquake occurrence. Journal of the Royal Statistical Society. Series B (Methodological), 1-62.
    Description: 碩士
    國立政治大學
    金融學系
    104352034
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G1043520341
    Data Type: thesis
    Appears in Collections:[金融學系] 學位論文

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