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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.

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金融大數據之應用 : Hawkes相互激勵模型於跨市場跳躍傳染現象之實證分析 / Empirical Analysis on Financial Contagion using Hawkes Mutu-ally Exciting Model

簡宇澤, Chien, Yu Tse Unknown Date (has links)
本研究使用美國、德國、英國股票指數期貨之日內交易資料，從報酬率中分離出連續波動度與跳躍項，再以MLE法估計Hawkes相互激勵過程之參數，衡量跨市場跳躍傳染現象。擴展文獻中僅兩市場的分析至三市場模型，更能從整體的角度解釋市場間的關係及跳躍傳染途徑。實證結果顯示，美國能直接影響其他市場，而其他市場反過來不易干涉美國，呈現非對稱影響效果。歐洲兩國能互相傳染，英國對德國的影響較大，也更有能力影響美國，稱英國為歐洲的影響輸出國，德國為歐洲的影響輸入國。
跳躍風險
金融傳染
Hawkes過程
自我激勵過程
相互激勵過程
Jump risk
Financial contagion
Hawkes process
Self-exciting process
Mutually-exciting process

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