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研究生:陳紀良
研究生(外文):Chi-liang Chen
論文名稱:股價報酬波動與交易量長相關性質的研究
論文名稱(外文):Studies on the long range dependence in stock return volatility and trading volume
指導教授:郭美惠郭美惠引用關係
學位類別:碩士
校院名稱:國立中山大學
系所名稱:應用數學系研究所
學門:數學及統計學門
學類:數學學類
論文種類:學術論文
論文出版年:2004
畢業學年度:92
語文別:英文
論文頁數:51
中文關鍵詞:分數差分之參數交叉頻譜分析波動估計分數共整合頻譜域之線性迴歸
外文關鍵詞:fractionally integrated ordervolatility estimationfrequency domain least squarescross spectrum analysisfractional cointegration
相關次數:
  • 被引用被引用:1
  • 點閱點閱:233
  • 評分評分:
  • 下載下載:57
  • 收藏至我的研究室書目清單書目收藏:2
許多實務上的研究都顯示,股票波動與其交易量都具有長相關,且可用分數差分過程來描述。這個研究主要目的就是去探討它們之間的關係。這篇文章中我們採用四種估計波動的方法,包含對數報酬平方法、歷史資料估計法、疊代t的估計法以及GARCH模型估計法。結果顯示在四種估計波動方法中,對數報酬平方法通常具有最大的分數差分階次,以及最高比例的分數共整合現象。分數差分的階次有聯合估計與分別估計,而共整合參數分別可用簡單線性迴歸、頻譜方面的迴歸以及半參數估計法來得到。最後對無分數共整合的序列也會對它們建立模型關係。
Many empirical studies show that both equity volatility and its trading volume have long range dependence and can be modeled as fractional integrated processes. The objective of this study is to investigate relationship between volatility and volume.We adopt four estimators of volatility, which includes the squared log returns, historical volatility, iterative t estimators and $GARCH$ estimators. The results show that among the four estimators squared log returns usually have the largest integration orders and produce hightest ratios of fractional cointegration. The fractional integrated orders are estimated separately and jointly, and the cointegration parameters are estimated by ordinary least squares, a narrow band frequency domain least squares method and a semiparametric estimator of Whittle likelihood. Models are also established when volatility and volume are not fractional cointegrated.
1. Introduction 1
2. Literature review 5
3. Cross spectrum analysis 8
4. Semiparametric estimation in long memory models 11
5. Results 20
6. Conclusion 24
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