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    Title: 費城半導體指數轉折點預測 - Probit模型之時間序列研究
    Predicting Stock Turning Points by Using Probit Model – Evidence from Philadelphia Semiconductor Index
    Authors: 李郁萱
    Lee, Yu-Hsuan
    Contributors: 徐士勛
    Hsu, Shih-Hsun
    李郁萱
    Lee, Yu-Hsuan
    Keywords: 費城半導體指數
    動態 Probit 模型
    熊牛市轉折點預測
    Date: 2021
    Issue Date: 2021-08-04 15:57:24 (UTC+8)
    Abstract: 針對學術上與實務上使用的多樣預測變數和及落後項,本文透過 Lasso 變數篩選法,選出對費城半導體指數轉折點預測具影響力的變數,再使用動態 Probit 模型進行樣本外疊代預測,並以不同的交易策略,比較長短熊牛市週期認列方式和預測變數組合的最大年化報酬率和其最適熊市機率門檻值。最終,本文歸納找出對費城半導體指數轉折點預測有最大年化報酬率的模型。根據實證結果,針對費城半導體指數熊牛市轉折點預測,本文認為應採用長週期認列和具有落後項的預測變數進行動態 Probit 模型估計和預測,此時將有最佳樣本外預測表現。
    Reference: 陳旭昇(2013),時間序列:總體經濟與財務金融之應用,二版。
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    Description: 碩士
    國立政治大學
    經濟學系
    107258009
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0107258009
    Data Type: thesis
    DOI: 10.6814/NCCU202100680
    Appears in Collections:[經濟學系] 學位論文

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