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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.
361

遺漏值存在時羅吉斯迴歸模式分析之研究 / Logistic Regression Analysis with Missing Value

劉昌明, Liu, Chang Ming Unknown Date (has links)
362

現金流量與相關會計變數對於股價報酬率關連性之研究 / The Relationship Between Free Cash Flow, Related Accounting Variable and Stock Returns

許欣欣, Shue, Sing-Sing Unknown Date (has links)
本研究試圖瞭解投資人所關心的財務資訊,是否真能帶來超額報酬,亦即探討上市公司股票報酬率與各財務資訊之間的關係,包括每股盈餘成長率及益本比、市價淨值比、自由現金流量相關變數對長期股票報酬之影響,並嘗試對各變數給予經濟上的解釋。   其中並試圖找出財務資訊究竟是在何時反應於股票報酬與超額報酬上,因此將股票報酬與超額報酬以領先財務資訊一季、與財務資訊同季及落後財務資訊一季等三個時點加以衡量,並以表面無關迴歸模式(Seemingly Unrelated Regression model ; SUR)與混合橫斷面及縱斷面之迴歸模式進行統計分析。   結果發現益本比及每股盈餘成長率與股票報酬及超額報酬的關係並不顯著;市價淨值比與落後一季的股價報酬具有顯著的負相關,而與超額報酬不論衡量時點為何均存在有顯著正相關;自由現金流量與股價報酬及額報酬均無顯著關係;毛現金流量與經濟利益率與股價報酬在部分產業中具有顯著關係,而與當期超額股價報酬則存在顯著的關係,惟影響符號不一致。此外各自變數對於股票超額報酬的關連性較自變數與股票報酬間具有較顯著的關係。
363

空間統計在研究犯罪外溢作用之應用

張紹禕 Unknown Date (has links)
犯罪行為受到警力或法律執行的影響,會移動到鄰近警力較差地區。正如 Gylys所說:考量一個地區警力的多寡,將受到其他鄰近區域警力的影響 很大。Mehay亦認為:從實際經驗上來看,對於移動性的犯罪(如搶劫、縱 火、偷竊等),外部支配型式力量(如警力)的適當增加,將迫使其外溢( spillovers)至鄰近區域。利用空間統計的自我迴歸模式,我們可以更了 解移動性犯罪受到相連區域自我相關的影響。即使相關性不高,在作了差 分之後,其主成分分析最大負載變數項,變化相當大。所以資料裡,如果 有區域自我相關的情形,就應該謹慎處裡。
364

台灣地區經常帳的實證研究-VAR模型的應用 / The emperical research of current account in Taiwan - the application of the VAR model

陳信忠, Chen, Shung Chung Unknown Date (has links)
本文是探討管理浮動匯率時期(1978年第三季至1993年第三季),台灣地區經常帳盈餘發生的原因,同時考慮匯率因素、貨幣市場及商品與勞務市場吸納的情況。利用兩個向量自迴歸模型,分別納入:(1)匯率、利率、經常帳、消費節約及貨幣供給,(2)匯率、利率、經常帳、財政盈餘及貨幣供給,藉由因果關係檢定、預測誤差分解、及衝擊反應,分析經常帳失衡的原因。   實証結果指出:台灣地區經常帳盈餘,深受匯率、財政盈餘及消費節約的影響,這個結論與我國低估幣值與出口拓展的政策一致。且經常帳盈餘並不能夠顯著的影響貨幣供給,這個結論與央行沖銷的措施一致,其目的無非是要隔離國外部門影響國內貨幣。足見自由化的匯率政策,不但讓匯率反應出合理的水準值,同時可追求獨立的貨幣政策,配合著獎勵投資、消費及增加公共支出,增加國內吸納,藉以減少鉅幅的經常帳盈餘。
365

外匯市場非線型時間序列之實證研究 --自迴歸條件異質變異數與類神經網路模式分析法 / A Non-linear Series Analysis of Foreign Market --An ARCH and Neural Approach

葉俊雄, Yeh, Jiunn Shyong Unknown Date (has links)
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
366

模糊隨機變數在線性迴歸模式上的應用 / Fuzzy Random Variables and Its Applications in Fuzzy Regression Model

曾能芳 Unknown Date (has links)
傳統迴歸分析是假設觀測值的不確定性來自於隨機現象,本文則應用模糊隨機變數概念於迴歸模式的架構,考慮將隨機現象和模糊認知並列研究。針對樣本模糊數(x<sub>i</sub>, Y<sub>i</sub>),我們進行模糊迴歸參數估計,並稱此為模糊迴歸模式分析。模糊迴歸參數估計大都採用線性規劃,求出適當區間,將觀測模糊數Y<sub>i</sub>的分佈範圍全部覆蓋。但是此結果並不能充分反映觀測樣本Y<sub>i</sub>的特性。本研究提出一套模糊迴歸參數的估計方法,其結果對觀測樣本的解釋將更為合理,且具有模糊不偏的特性。在分析過程中,我們亦提出一些模糊統計量如模糊期望值、模糊變異數、模糊中位數的定義,以增加對這些參數的模糊理解。最後在本文中也針對台灣景氣指標與經濟成長率作實務分析,說明模糊迴歸模式的適用性。 / Conventional study on the regression analysis is based on the conception that the uncertainty of observed data comes from the random property. However, in this paper we consider both of the random property and the fuzzy perception to construct the regression model by using of fuzzy random variables. For the fuzzy sample (x<sub>i</sub>,Y<sub>i</sub>), we will process the parameters estimation of the fuzzy regression, and we call this process as fuzzy regression analysis. The parameters estimation for a fuzzy regression model is generally derived by the linear programming scheme. But it's result usually doesn't sufficiently reflect the characteristics of the observed samples. Hence in this paper we propose an alternative technique for parameters estimation in constructing the fuzzy regression model. The result will describe the observed data better than the conventional method did, moreover it will have the fuzzy unbiased properties. For the purpose of fuzzy perception on the fuzzy random variables, we also give definitions for certain important fuzzy statistics such as fuzzy expected value, fuzzy variance and fuzzy median. Finally, we give an example about the Taiwan Business Cycle and the Taiwan Economic Growth Rate for illustration.
367

以部分法修正地理加權迴歸 / A conditional modification to geographically weighted regression

梁穎誼, Leong , Yin Yee Unknown Date (has links)
在二十世紀九十年代,學者提出地理加權迴歸(Geographically Weighted Regression;簡稱GWR)。GWR是一個企圖解決空間非穩定性的方法。此方法最大的特性,是模型中的迴歸係數可以依空間的不同而改變,這也意味著不同的地理位置可以有不同的迴歸係數。在係數的估計上,每個觀察值都擁有一個固定環寬,而估計值可以由環寬範圍內的觀察值取得。然而,若變數之間的特性不同,固定環寬的設定可能會產生不可靠的估計值。 為了解決這個問題,本文章提出CGWR(Conditional-based GWR)的方法嘗試修正估計值,允許各迴歸變數有不同的環寬。在估計的程序中,CGWR運用疊代法與交叉驗證法得出最終的估計值。本文驗證了CGWR的收斂性,也同時透過電腦模擬比較GWR, CGWR與local linear法(Wang and Mei, 2008)的表現。研究發現,當迴歸係數之間存有正相關時,CGWR比其他兩個方法來的優異。最後,本文使用CGWR分析台灣高齡老人失能資料,驗證CGWR的效果。 / Geographically weighted regression (GWR), first proposed in the 1990s, is a modelling technique used to deal with spatial non-stationarity. The main characteristic of GWR is that it allows regression coefficients to vary across space, and so the values of the parameters can vary depending on locations. The parameters for each location can be estimated by observations within a fixed range (or bandwidth). However, if the parameters differ considerably, the fixed bandwidth may produce unreliable or even unstable estimates. To deal with the estimation of greatly varying parameter values, we propose Conditional-based GWR (CGWR), where a different bandwidth is selected for each independent variable. The bandwidths for the independent variables are derived via an iteration algorithm using cross-validation. In addition to showing the convergence of the algorithm, we also use computer simulation to compare the proposed method with the basic GWR and a local linear method (Wang and Mei, 2008). We found that the CGWR outperforms the other two methods if the parameters are positively correlated. In addition, we use elderly disability data from Taiwan to demonstrate the proposed method.
368

西部大開發政策後中國大陸西部地區地方政府效率之分析-兼論財政地方分權的角色 / The local government efficiency in the western area of china after the implementation of the grand western development program

呂暉鵬, Lu, Hui Peng Unknown Date (has links)
中國大陸在近幾十年來的經濟成長舉世矚目,卻也造成了中國大陸東西部發展不平均的隱憂。有鑑於此,江澤民在1999 年的「中央扶貧開發會議」上首次提出了「西部大開發」戰略概念,期能縮小區域發展不均衡的差距。西部大開發預計進行50 年分三個階段進行,截至2010 年已經完成了第一階段。在這十年間,整個西部地區有著巨大的改變。   因此,本文的研究目的在於,利用大陸西部12 個省、市、地區自2000 至2010年的追蹤資料,再運用Tobit實証模型進行實證分析。其實證結果顯示,財政地方分權程度、人口密度、地區生產總值、地方政府規模以及地區開放程度等因素,對地方政府效率值之影響為正向;而財政地方分權程度之平方項與地方政府規模之平方項,則對地方政府效率具有負向影響,即財政地方分權與地方政府規模對於地方政府效率之影響可能呈現非單調性。 / The economic growth of China has increased rapidly in recent several decades, but thisgrowth has resulted in the imbalance between the eastern and western region. According tothis situation, Zemin Jiang first proposed the “Grand Western Development Program” in the“central poverty alleviation and development conference” in 1999, hoping to reduce the imbalance in the regional development gap. After carrying out the Grand Western Development Program, the growth ranges of GDP per capita in some of regions have risen quickly. Therefore, the research purpose of this literature is to analyze the empirical estimation of the Tobit model with the panel data which include 12 provinces, cities, and regions in China western area from 2000 to 2010. The empirical results show that the degree of fiscal decentralization, the density of population, gross regional product, the scale of local government, and the degree of openness all have positive influences on the efficiency of local governments. However, the quadratic terms of the degree of fiscal decentralization and the scale of local government have negative influences on the efficiency of local governments. That is to say, the degree of fiscal decentralization and the scale of local government probably have non-monotonic effects on the efficiency of local governments.
369

房屋貸款保證保險違約風險與保險費率關聯性之研究 / The study on relationship between the default risk of the mortgage insurance and premium rate

李展豪 Unknown Date (has links)
房屋貸款保證保險制度可移轉部分違約風險予保險公司。然而,保險公司與金融機構在共同承擔風險之際,因房貸保證保險制度之施行,於提高貸款成數後,產生違約風險提高之矛盾現象;而估計保險之預期損失時,以目前尚無此制度下之違約數據估計損失額,將有錯估之可能。 本研究以二元邏吉斯特迴歸模型(Binary Logistic Regression Model)與存活分析(Survival Analysis)估計違約行為,並比較各模型間資料適合度及預測能力,進而單獨分析變數-貸款成數對違約率之邊際機率影響。以探討房貸保證保險施行後,因其對借款者信用增強而提高之貸款成數,所增加之違約風險。並評估金融機構因提高貸款成數後可能之違約風險變動,據以推估違約率數據,並根據房貸保證保險費率結構模型,計算可能之預期損失額,估算變動的保險費率。 實證結果發現,貸款成數與違約風險呈現顯著正相關,貸款成數增加,邊際影響呈遞增情形,違約率隨之遞增,而違約預期損失額亦同時上升。保險公司因預期損失額增加,為維持保費收入得以支付預期損失,其保險費率將明顯提升。故實施房屋貸款保證保險,因借款者信用增強而提高之貸款成數,將增加違約機率並對保險費率產生直接變動。 / Mortgage insurance system may transfer part of the default risk to insurance companies. However, the implementation of mortgage insurance system, on increasing loan to value ratio, the resulting increase default risk. And literatures estimate the expected loss without the default data, there will be misjudge. Our study constructs the binary logistic regression model and survival analysis to estimate the mortgage default behavior, and compare the data between the model fit and the predictive power. Analyzes the effect of loan to value ratio on the marginal probability of default rate. Furthermore, assess the financial institutions in the risk of default due to loan to value ratio changes. According to the estimated default rate data, we employ the mortgage insurance rate structural model to calculate the expected amount of loss and the changes in premium rates. Empirical results found loan to value ratio have a significant positive effect on borrowers’ default. Loan to value ratio increase, the marginal effect progressively increase, along with increasing default rates and expected default losses. Due to the ascendant expected loss, insurance companies increase premiums to cover the expected loss, the premium rate will be significantly improved. Therefore, the implementation of mortgage insurance, credit enhancement for the borrower to improve loan to value ratio, will increase the probability of default and insurance rates.
370

不動產評價之空間計量與地理統計 / Spatial Econometrics and Geostatistics for Real Estate Valuation

陳靜宜, Chen, Jing Yi Unknown Date (has links)
近年來由於地理資訊系統(GIS)的快速發展發,空間資料分析開始受到重視並在社會科學領域中逐漸扮演重要的角色。雖然一般的統計方法已在傳統資料分析上發展已久,然而它們卻不能有效地說明空間性資料,並且無法充分處理空間相依或空間異質性問題。一般而言,空間資料分析主要有兩個分派:模型導向學派與資料導向學派。本文研究目的在於應用空間統計方法合理且充分地評估房地產價值,研究方法包含地理統計(克利金和共克利金)、地理加權迴歸與空間特徵價格模型等,並且以台中市不動產資料進行實證探究。這項新的研究技術在不動產評價領域中將可提供更好的解析能力,使其在評價過程中或是不動產投資決策時,成為一個更強而有力的分析工具。 / In recent years, spatial data analysis has received significant awareness and played an important role in social science because of the rapid development of Geographic Information System (GIS). Although classic statistical methods are attractive in traditional data analysis, they cannot be executed seriously for spatial data. Standard statistical techniques didn’t sufficiently deal with spatial dependence or spatial heterogeneity issues. Generally, the model-driven method and the data-driven method are mainly the two branches of the spatial data analysis. The purpose of this paper is to apply spatial statistics methods including geostatistical methods (kriging and cokiging), geographically weighted regression, and spatial hedonic price models to real estate analysis. It seems to be completely reasonable and sufficient. The real estate data in Taichung city (Taiwan) is used to carry out our exploration. These techniques give better insight in the field of real estate assessment. They can apply a good instrument in mass appraisal and decision concerning real estate investment.

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