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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/89011


    Title: 多元自迴歸條件異質變異數之模型設定研究
    Authors: 欉清全
    Tung, Genius
    Contributors: 汪義育
    欉清全
    Genius Tung
    Keywords: 穩健統計量
    非恆定
    共積
    準最大概似估計式
    因素分析
    robust statistics
    Co-integration
    unit root
    Multivariate ARCH
    Date: 1993
    Issue Date: 2016-04-29 16:43:32 (UTC+8)
    Abstract: 經濟理論明白揭示,在不確定下,金融性資產的選擇不僅要考慮其未來報
    Reference: 參考書目
    一、中文部分
    何祖平,中華民國八十年七月,多元自迴歸條件異質變異數模型--國際主要貨幣關聯性之研究,國立政治大學國際貿易研究所碩士論文
    行政院經濟建設委員會經濟研究處,中華民國八十年六月三十日,短期總體經濟預測。
    二、英文部分
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    Specification Tests, Econometric Theory 6,17-43.
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    in finance, Journal of Econometrics 5?,5-59 .
    Dickey, D.A. and W.A. Fuller, 19S1,Likelihood Ratio Statistics for Autoregressive
    Time Series With A Unit Root ,Econometrica, 49,4,1057-1079.
    Diebold, Francis X. and Mark Nerlove,1989,The dynamics of exchange
    rate volatility: A muitivariate latent factor ARCH model, Journal of
    Applied Econometrics 4,1-21.
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    country exchange rate volatility?, Empirical Economics 13,81-102.
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    Engle, Robert F.1983,Estimates of the variance of U.S. inflation based
    on the ARCH model, Journal of Money, Credit and Banking 15, 286-301.
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    Representation, Estimation and Testing, Econometrica,55,2,251-276.
    Engle, Robert F. and Tim Bollerslev,1986,Modelling the persistence of
    conditional variances ,Econometric Review 5,1-50,81-87.
    Engle, Robert F. and Tim Bollerslev,1989,Common Persistent in Conditional
    Variance, U. C. San Diego Discussion Paper ,89-54.
    Engle, Robert F. and Victor K.Ng,1990 , An examination of the impact
    of volatility shocks on the short end of the term structure based on a factor-ARCH model for treasury bills, Journal of Econometrics,45,213-237.
    Engle, Robert F. ,Clive W.J. Granger, and Dennis F .Kraft ,1984, Combination
    competing forecasts of inflation using a bivariate ARCH model,
    Journal of Economic Dynamics and Control 8,151- 165.
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    model, Econometrica 55,391-407.
    Fama,Eugene,F.,1965,The behavior of stock market prices, Journal
    of Business 38,34-105 .
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    exchange rates , Journal of Business and Economic Statistics 1,307-31 7.
    Kroner, Kenneth F .and Stijn Claessens,1991 ,Optimal currency composition
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    of International Money and Finance 10,131-148.
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    Milhoj ,Anders ,1987a,A conditional variance model for daily observations
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    Description: 碩士
    國立政治大學
    國際經營與貿易學系
    G80351021
    Source URI: http://thesis.lib.nccu.edu.tw/record/#B2002004172
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

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