政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/111748

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/111748

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政大典藏 > College of Commerce > Department of Money and Banking > Theses > Item 140.119/111748

Please use this identifier to cite or link to this item: https://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:	[Department of Money and Banking] Theses

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