English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 109952/140891 (78%)
Visitors : 46232539      Online Users : 906
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/30405


    Title: 匯率預測之非線性模型實證研究
    Authors: 陳宣仰
    Contributors: 顏錫銘
    陳宣仰
    Keywords: 匯率預測
    非線性
    Date: 2004
    Issue Date: 2009-09-11 17:49:30 (UTC+8)
    Abstract: 本研究以美國對六國匯率為研究對象,首先利用R/S分析判斷資料型態,確定資料的可預測性後,便著手建立非線性的匯率預測模型-「移動模型」。接著利用資料固定與資料滾動兩種預測方法,比較其中差異,進一步分析移動模型的預測能力。
    第一章 緒論
    第一節 研究動機與背景…………………………………………1
    第二節 研究目的…………………………………………………2
    第三節 研究流程…………………………………………………3
    第二章 文獻探討  
    第一節 匯率預測簡介……………………………………………5
    第二節 非線性匯率預測模型……………………………………11
    第三節 渾沌理論…………………………………………………13
    第四節 重定範圍分析法…………………………………………17
    第三章 研究方法
    第一節 AR模型…………………………………………………21
    第二節 建立非線性匯率預測模型………………………………22
    第三節 匯率資料準備……………………………………………27
    第四章 實證結果與分析 
    第一節 重定範圍分析結果………………………………………29
    第二節 移動模型配適……………………………………………30
    第三節 AR模型配適……………………………………………39
    第四節 資料固定方法的樣本外預測能力比較…………………41
    第五節 資料滾動方法的樣本外預測能力比較…………………45
    第五章  結論及建議………………………………………………………55
    Reference: 中文部分
    1. 方兆本,「走出渾沌」,凡亦出版社,民國八十八年十二月。
    2. 陳信維,「混沌與碎形理論在時間序列分析之應用」,國立台灣科技大學工業管理系碩士論文,民國88年六月。
    3. 陳惠美,「匯率模型預測績效之探討」,淡江大學財務金融研究所,民國八十九年六月。
    4. 楊銘峰,「新臺幣對美元匯率決定之研究─時間數列方法應用」,銘傳大學經濟學研究所,民國八十九年六月。
    5. 葉俊佃,「匯率波動與非線性系統之關聯性研究」,國立臺灣大學國際企業學研究所,民國八十八年六月。
    6. 葉時魁,「新台幣兌美元匯率變動率之混沌性質研究」,淡江大學國際貿易研究所,民國八十六年六月。
    7. 廖元宏,「以STAR模型研究新台幣實質有效匯率」,國立中山大學財務管理研究所,民國九十年六月。
    8. 蔡志宏,「匯率預測模型之檢測-結合時間序列與總體經濟模型」,暨南國際大學經濟研究所,民國九十二年六月。
    9. 盧信銘,「匯率預測與隨機漫步假說」,國立臺灣大學經濟學研究所,民國九十年六月。
    英文部分:
    1. Brooks,C. (2002) , Introductory econometrics for finance ,Cambridge University Press.
    2. Chinn, M. and Meese, R. (1995) “Banking on currency forecasts:how predictable is change in money?” Journal of International Economics,Vol.38,161-178.
    3. Copeland Laurence (2000) ,Exchange Rates and International Finance , 389-427.
    4. DeCoster, G. P. and D. W. Mitchell (1991) “Nonlinear Monetary Dynamics,”Journal of Business and Economic Statistics, Vol.9,455-461.
    5. Diebold, F.X. and Nason, J.A. (1990) “Nonparametric exchange rate prediction?” Journal of International Economics,Vol.28,315-332.
    6. Dumas, B. (1992) ,“Dynamic equilibrium and the real exchange rate in a spatially separated world,” The Review of financial studies, Vol.5, 153-180.
    7. Gammel, B.M. (1998) ,“Hurst"s rescaled range statistical analysis for pseudorandom number generators used in physical simulations” Physical Review E,Vol.58,NO.2.
    8. Granger, C. W. J. and Teräsvirta, T.(1993) “Modelling Nonlinear Economic Relationships”, Oxford University Press, Oxford.
    9. Grauwe, P.D., Dewachter, H. and Enbrechts, M. (1993) “Exchange Rate Theory:Choatic Models of Foreign Exchange Markets” Blackwall Publishers.
    10. Hsieh, D.A. (1991) “Chaos and nonlinear dynamics:application to financial markets” The Journal of Finance,Vol.46,1839-1877.
    11. Kilian, L. and Taylor, M.P. (2003) “Why did it so difficult to beat the random walk forecast of exchange rates?” Journal of International Economics,Vol.60,85-107.
    12. Miller, G. A. (1956) , “The magical number seven, plus or minus two ”,The Psychological Review ,63 ,81-97.
    13. Meese, R.A. and Rogoff, K.(1983)“Empirical exchange rate models of the seventies:do they fit out of sample?” Journal of International Economics,Vol.14,3-24.
    14. Meese, R. and Rose, A. (1991) “An empirical assessment of non-linearities in models of exchange rate determination” Review of Economic Studies,Vol.58,603-619.
    15. Michael, P., Nobay, A. R.and Peel, D. A. (1997), “Transactions costs and nonlinear adjustment in real exchange rates: and empirical investigation,” The Journal of Political Economy, 105, 862-879.
    16. Pallikari, F. and Boller, E. (1999) “A rescaled range analysis of random events” Journal of Scientific Exploration,Vol.13,25-40.
    17. Peters, E. E. (1994), “Fractal Market Analysis: Applying Chaos Theory toInvestment and Economics” John Wiley and Sons, New York.
    18. Sarantis, N.(1999) “Modeling nonlinearities in real effective exchange rates” Journal of International Money and Finance,Vol.18,27-45.
    19. Siddique, A. and Sweeney, R.J. (1998) “Forecasting real exchange rates” Journal of International Money and Finance,Vol.17,63-70.
    20. Somanath, S.V. (1986) “Efficient exchange rate forecasts” Journal of International Money and Finance,Vol.5,195-220.
    21. Taylor, M. and Peel, D. A. (2000), “Nonlinear adjustment, long-run equilibrium and exchange rate fundamentals,” Journal of International Money and Finance, 19, 33-53.
    22. Tambakis,N. and A.-S.V. Royen (2002) “Conditional Predictability of Daily Exchange Rates”,Journal of Forecasting, Vol.21,301-315.
    23. Wu, J.-L. and Chen, S.-L. (2001) “Nominal exchange-rate prediction:evidence from a nonlinear approach” Journal of International Money and Finance,Vol.20,521-532.
    Description: 碩士
    國立政治大學
    科技管理研究所
    92359013
    93
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0923590132
    Data Type: thesis
    Appears in Collections:[科技管理研究所] 學位論文

    Files in This Item:

    File SizeFormat
    index.html0KbHTML2439View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員(nccur@nccu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback