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    Title: 財務市場之計量分析--以台灣、美國、日本市場為例
    Authors: 鄭敦仁
    Contributors: 毛維凌
    鄭敦仁
    Keywords: 多變數自迴歸條件變異數異質模型
    multivariable garch model
    Date: 1998
    Issue Date: 2016-04-27 11:12:38 (UTC+8)
    Abstract: 自從Engle(1982)觀察金融資產報酬序列具有波動叢聚的現象,進而提出自迴歸條件變異數異質(Autoregressive Conditional Heteroskedasticity)模型後,解決了傳統的時間序列模型如自我迴歸移動平均(Autoregressive Moving Average;簡稱ARMA)模型在財務金融的實證研究上對變異數異質(Heteroskedasticity)的現象不能做有效解釋的問題後。陸續的延申模型如Bollerslev(1986)一般化自我迴歸條件異質變異(General Autoregressive Conditional Heteroskedasticity;簡稱GARCH)模型、Chou(1988)的GARCH - M(General Autoregressive Conditional Heteroskedasticity in Mean;簡稱GARCH - M)模型,已廣泛的應用於分析股票市場股價持續波動的問題上。
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    Description: 碩士
    國立政治大學
    經濟學系
    86258008
    Source URI: http://thesis.lib.nccu.edu.tw/record/#B2002001633
    Data Type: thesis
    Appears in Collections:[經濟學系] 學位論文

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