學界間廣泛地認為一般金融資產報酬具有的特性是:線型不可預測性,條件 異質變異數,非條件尖峰態 ... 等特性o 固然金融資產報酬具有線型不可 預測之特性,可是並不能否決其間可能有非線型依存關係的存在o目前大部 份經濟計量分析方法中的模式建構問題均是在假設模式的結構訊息已知的 條件下求解,然若真實體系的結構訊息未知或不明朗時,貿然地假設為某種 特定的模式結構,則可能又難於避免模式設定錯誤的困擾,因而對於真實體 系行為的描述亦將可能是誤導且不合理的,這意味著:除非該特定的模式結 構正是真實體系的表徵, 否則無論該特定模式的結構特性多完美,均難以 建構一令人信服的數理化模式來表徵真實體系之行為o 不幸地,此一問題 在高度非線型的動態隨機體系中尤其嚴重, 甚至是否存在一 ``真實'' 模式來據以表徵體系之行為,亦是相當值得懷疑, 故考慮一種無需特定結 構訊息假設的無母數方法或函數逼近法實屬必要o 類神經網路中的倒傳遞 網路模式即是符合此種特性的方法之一o然而學界間仍無法確定的是金融 資產報酬序列資料所產生的 ARCH 效果本身是否為真實序列資料產生機制 特性之顯現, 還是應歸咎於被忽略掉條件均數方面之非線性所衍生模式設 定錯誤情況下的代用模式, 並不得而知;另一方面, ARCH 模式的顯著成就 及其價值亦不能予以輕易地漠視, 因此, 試圖將 ARCH 模式所能提供的攸 關訊息納入倒傳遞網路模式的考量之中而形成倒傳遞網路-自迴歸條件異 質變異數 (BPN-ARCH) 模式以增進樣本外預測能力的精度便是本論文最 主要的嘗試重點與目的o

本研究探討選擇權交易量之大小對於波動度預測之效率性所造成之對偶效果(dual effect)，驗證〝正常的高交易量〞與〝異常的高交易量〞對於波動度預測能力是否有不同的影響。本研究採用panel data之資料型態，以LIFFE上市的個股買權為對象，資料長度為三年左右。主要欲探討之假說為： 1.一般而言，交易量大的選擇權，其波動度估計誤差較交易量小的選擇權來得小。 2.相對於平日水準而言，某日交易量異常高的選擇權將有較大的波動度估計誤差。 本研究所使用的波動度預測模型為隱含波動度(ISD)，採用的是最接近到期月份及最接近價平的合約。實證以組合迴歸、固定效果模型、隨機效果模型分別估計之，加以比較。結果發現固定效果模型為較佳之解釋模型，然而結果顯示交易量的對偶效果並不明確影響波動度預測誤差，故推測有某種影響公司間差異的因素，即公司間之異質性，比相對交易量更容易影響波動度預測之誤差。另外，透過組間與組內效果之分析，發現不論是長期還是短期，由於公司間的異質性存在，使得相對交易量對於波動度預測誤差均無明顯影響。 / The purpose of this research is to study the dual effect on the efficiency of volatility forecasting which is caused by the volume of option market, with the intent to test whether〝normal high volume〞and〝abcdrmal high volume〞cause different results on the ability of volatility forecasting. The data used is in the form of panel data. It is drawn from LIFFE, and has a length of about three years. The hypotheses to be examined in this study are：1. High-average-volume options have smaller volatility forecasting errors than low-average-volume options; 2. Options have larger volatility forecasting errors on abcdrmally-high-volume days than on normal-volume days. In this research, volatility is forecasted by implied standard deviation (ISD) which is implied in the at-the-money and the nearest expiry month options. Pooled regression、fixed effect model、and random effect model methods were applied. The results show that the fixed effect model made the best analysis amongst the three models. However, the result does not support the hypotheses made above, which means that volume does not have much influence on volatility forecasting error. It is inferred that there exists some other factors which could cause the difference between firms, namely heterogeneity, and these factors have much more powerful influence over volatility forecasting error than volume. Finally, it was found that no matter for long run or short run, because of the existence of heterogeneity, relative volume doesn’t have obvious influence on volatility forecasting errors when analyzing the difference between the between-individual effect and the within-individual effect.

本論文探討英國劇作家凱洛•邱琪兒之《九重天》以及《頂尖女孩》兩劇中深具顛覆性的時空手法。本論文由五章組成。第一章回顧多年來相關的眾多評論角度。第二章援引巴赫汀(Mikhail Bakhtin)的時空型(chronotope)概念探討兩戲中時空融匯的現象，尤其是劇中人物心理、身體狀態，戲劇時空，以及外在社會文化時空背景，三者之間緊密的互動。兩齣戲各別有著兩個不同的時空型：《九重天》第一幕代表的是性別角色僵化的時空型，第二幕則代表了1979年當時社會上傳統性別角色開放且迅速轉變的狀態；《頂尖女孩》則透過一對姐妹Marlene與Joyce對映出當時兩種不同的女性生活，一個是典型八零年代柴契爾主義的事業女強人，一個則是在此種政經趨勢下卻相對更加弱勢的傳統女性。 第三章則探討兩劇第一幕呈現長久以來隱藏空間當中的性別歧視。透過女性地理學者(feminist geographical theorist)之觀點，筆者分析兩戲當中兩性間不同的空間體驗(spatial experience)，以及公/私領域之分界(private-public distinction)所暗藏性別歧視的空間隱喻(spatial metaphor)。當男性與冒險及旅行等等充滿能動性(mobility)的字眼連結，女性卻總是被動地與家庭空間緊緊連繫。邱琪兒在此揭露空間亦為不公平的性別政治當中之一環。 第四章則著重於分析《九重天》第二幕當中的公園場景，以及《頂尖女孩》第二、三幕的辦公室與廚房場景。首先援引傅柯(Michel Foucault)的異質空間(heterotopia)概念來討論各場景間複雜的鏡像與補償關係。透過空間理論學者昂希．列菲弗爾(Henri Lefebvre)以及抵抗地景(geographies of resistance)的空間生產理論分析邱琪兒如何透過呈現特定社會族群佔領特定空間的手法，企圖激進地改變現實當中此類空間的社會意義。 雖然距兩齣劇作首演的年代已有二十多年，但其中所探討之議題依然常見於現今二十一世紀的社會當中。邱琪兒預見了現今複雜的家庭狀態以及大鳴大放的同性戀運動。即使越來越多女性在政治界或是企業界嶄露頭角，世界上多數的女性依然掙扎於找尋工作與家庭之間的平衡點。 / This thesis is to examine Caryl Churchill’s subversive temporal and spatial devices on stage in Cloud Nine and Top Girls. The chronotopes of the two plays articulate how people’s states of beings interact with the external social and cultural conditions, especially during the 1980s in London. Both plays crystallize the space politics full of gender discriminations in the patriarchal society. In addition, Churchill’s dramatic devices are the subversive spatial practice that transforms the gendered spaces into the sites of resistance in order to manifest her protest and seeks more possibilities for the gender roles in the future. There are five chapters in this thesis. Chapter One is an introduction, including the overview of two plays and the review of numerous analyses in the past two and half decades. In Chapter Two, Churchill’s theatrical temporal and spatial devices, including setting, synchronism, and anachronism in Cloud Nine and Top Girls construct chronotopes that lay bare the special social and cultural condition in a certain historical moment. Those chronotopes demonstrate how Churchill unifies people’s internal states of being and the external political structures together. Moreover, by presenting the chronotopes, Churchill criticizes the slowness of the progress in gender politics and the possible backlash about women’s right in the 1980s. In Chapter Three, I analyze how the spatiality of patriarchy constructed by the private-public dichotomy in both Act Ones of Cloud Nine and Top Girls. The spatial experiences between men and women depicted in Act One of Cloud Nine illustrate the stereotypical masculinity and femininity in the Victorian age. The spatial metaphors about movement in Act One of Top Girls expose the strict boundary between the private and the public spaces, and foreshadow the importance of mobility as being a possible strategy to transgress the boundaries. Finally, Chapter Four is the analysis about how Churchill subversively and politically explores the possibility of creating new social spaces in the park space of Cloud Nine and the office space of Top Girls. Her theatrical strategies are potential spatial practices that create the rupture to transgress the unfair restrictions and discriminations in the patriarchal and heterosexual society. The final chapter concludes that Churchill’s dramatic devices about time and space are the subversive strategies to conduct her observations and criticisms about the unfairness in society.