本研究使用含外生多變數為門檻值之TAR模型，分析並預測103年到105年的台股指數。建構多變量之門檻自迴歸模式較傳統以時變或自變數自動控制值更能反映出時間數列結構改變的過程與趨勢。這對於模式分析與預測有更優的解釋能力。且含外生多變數為門檻值之多變量門檻模式的可適用範圍很廣，尤其是當時間數列中的結構改變的現象，來自於外在多個變數衝擊，或非線性現象。此時加入多個外生變數作為考量，更能精準分析資料和做預測。我們以台股指數為例，實證結果顯示，我們所提出之模型，較傳統預測方法有更高之準確度。 / In this research, we use exogenous multi-variables as threshold values to construct a threshold autoregressive model in order to analysis and forecast TAIEX index between 103 years and 105 years. Constructing the threshold autoregressive model with multi-variables is better to reflect the process and trend of the change in time series structure than traditional model. This provides the better explanatory ability for model analysis and forecast. Also, the threshold autoregressive model with multi-variables containing exogenous multi-variables can apply more range, especially, as the structure change in time series due to the exogenous multi-variables shock. Through adding more exogenous variables, one can analyze data and forecast accurately. In this paper, the empirical results of TAIEX index shows that the threshold autoregressive model with multi-variables containing exogenous multi-variables is more precise than the traditional way.

流浪教師問題是目前教育界中ㄧ重要問題，流浪教師數的預測精準與否，將會影響教育政策的裁定。本研究中，使用多變量門檻自迴歸模式，預測100年度到103年度的流浪教師數量。結果顯示，多變量門檻自迴歸模式較ARIMA模式更能顯現數列的趨勢，對於預測上有極大的幫助。且多變量門檻自迴歸模式的可用範圍很廣，因為一般的時間數列中或多或少都會有結構改變的現象，時間數列的資料普遍存在有非線性現象，且同時受到多個變數影響，此時加入多個外生變數作為考量，更能精準分析資料和做預測。 / The vagabond teachers in elementary schools is an important problem in education administration. An accurate forecast of the number of vagabond teachers in elementary schools may heavily affect educational policy. In this thesis, we use multivariate TAR model analysis to forecast the number of vagabond teachers in elementary schools in Taiwan Area during a period from 100 to 103. According to the result, multivariate TAR model perform well for prediction. Multivariate TAR model can be widely used in different circumstances, especially complicated situation. As far as common time series data is concerned, it has change point or change period occurs.Structural change of a non-linear time series is auniversal phenomenon. Selecting suitable data variables and using exogenous variables to be a threshold, we could obtain better predictable effect by multivariate TAR model.

風險值為衡量金融資產風險相當重要的一個工具，但是傳統風險值在計算時有許多不合乎實際狀況的假設，其中針對金融資產報酬率呈常態分配的假設在許多研究中被提出來討論，過去的實證研究中也大多證明資產的報酬率多為厚尾分配，所以如果繼續使用常態分配的假設，勢必會造成某種程度的模型風險，而且會相對低估金融資產的下方風險，所以在後續的研究中有許多針對該分配假設進行修正的理論與模型，極值理論的應用為其中廣為應用的一種。 本論文使用五種風險值模型來估計股價指數與匯率報酬率的風險，分別為：(1)傳統風險值計算中不對分配進行假設的歷史模擬法(2)傳統風險值計算中假設分配為常態的Normal法(3)極值理論中假設分配為一般極值分配的區域極大值法(4)極值理論中假設分配呈柏拉圖分配的超過門檻值法(5)極值理論中假設分配呈T分配的VaR-x法；在實證研究中使用三種期間的實驗窗口，觀察五種模型在面對不同性質的金融資產在預測能力上有何差異，結果證明在短天期之下，因無法抽取足夠代表風險特性的樣本數，風險值估計的預測能力不高，而當抽樣期間過長時又會發生將過多非相關資料納入樣本的缺點，所以風險預測的準確性取決於一個適當樣本長度的選擇，如在本實證中250期實驗窗口所計算出來的風險值的參考價值會高於50日與1000日的估計值；在面對不同的標的資產時，由於股價指數對於漲跌幅的限制與交易量的多寡影響了資產在極端值的分配情況，故極值理論的模型在匯率資產的應用上相對具有效率；由極值理論模型回溯測試的結果發現，模型失敗次數大多小於理論的失敗次數，故可以證明以厚尾分配為假設的極值理論模型相對原始模型，在穩健以及保守的角度上具有較佳的表現。

本論文主要是以實質選擇權分析法對在最適決策下供應鏈及公司的價值進行評價。內容包含兩篇文章。第一章為緒論；第二章與第三章為主文。在此兩章中 ，我們會先介紹研究動機、目的與文獻探討，接著架構模型，據以求出於最適決策下供應鏈或公司價值的封閉解後，以比較靜態分析法分析各參數對供應鏈或公司價值的影響。第四章為總結。 / 第一篇文章為對在隨機成本下供應鏈的評價。該模型是以單一供應商、單一零售商與多個消費者組成之垂直整合的二階段序列式動態供應鏈為架構，假設市場的現貨價格為動態過程，供應商和零售商每單位商品的成本為隨現貨價格變動的隨機成本。在此模型中，供應鏈的經營者以銷售量為決策，聯合利潤最大化為目標。此外，存貨設定在零售商的一方，而零售商所持有的存貨可視為擁有一個無窮期的美式買權，當存貨出清時，如同執行一個美式買權一般，以促使利潤的實現。接著我們利用比較靜態分析法就無風險利率和現貨價格報酬率的波動度對於最適決策下所求得的供應鏈價值之影響進行分析後，得到供應鏈價值會隨著無風險利率的上升而增加，亦會隨著現貨價格報酬率波動度的提高而增加。此結論和Cortazar and Schwartz(1993)以兩階段製造產品為運作模式之公司價值就無風險利率和現貨價格報酬率的波動度進行比較靜態分析後所得到的結果一致。 / 第二篇文章為對在隨機匯率下兩階段生產之公司進行評價。此文考慮Cortazar and Schwartz(1993)的模型，在產品之製造為兩階段式生產的條件下，納入隨機匯率，用實質選擇權分析法，評價以外銷專案為標的之公司價值。我們針對模型中的參數：本國的無風險利率、以外幣計價之現貨價格報酬率波動度及匯率波動度的變化對公司價值的影響進行分析後，而得到這些參數與公司價值呈現正相關的結果。此外，因動態現貨價格與隨機匯率的相關性 ，我們亦分析現貨價格和匯率的相關係數對公司價值之影響後，得到兩者正相關程度越大或是負相關程度越小時，公司價值就越大，從而體認到僅從匯率走勢的升值或貶值來判斷外銷專案價值有利與否是不夠詳盡的，還要考慮現貨價格和匯率交互影響的程度，決策者才能做出有利於外銷專案更好的決定。 / 最後，我們將此兩篇文章歸納出一些重要的結論後，接著針對本論文研究主題的未來發展方向，提出一些觀點和建議，以作一個總結。 / This text uses a real options approach to price the value of the supply chain or the company. It contains two articles . Chapter 1 is the introduction; Chapter 2 and Chapter 3 are the main text.In these chapters, we introduce the study motive and literature review, the model, the closed form of the supply chain or the company in the optimal operating policy, and then use comparative statics method to analyze the effect of some parameters that risk-free interest rate, volatility of the spot price, volatility of the exchange rate etc. Finally, we give a summary. / The first article is in Chapter 2. It is to price the optimal value of the two echelon sequential dynamic supply chain which is composed of one supplier, one retailer and many consumers. In this model, we assume that the spot price of goods is a dynamic process, the costs of the per unit goods of supplier and retailer are up to the change of the spot price, the sales volume is the decision strategy, and their aim is to maximize joint profits. In this supply chain, the value of the stocks for retailer can be regarded as a perpetual American call option. Finally, we will use comparative static to examine the effect of the volatility of the spot price and risk free rate for the optimal value of the supply chain, and we obtain the same results as Cortazar and Schwartz’s (1993) optimal value of two-stage companies. / The second article is in Chapter 3. Based on the extended the Cortazar and Schwartz (1993) model, we use the Real Options Approach to price the closed form of the value of the two-stage production for a company under stochastic exchange rate. With regard to the parameters in the model: domestic risk-free interest rate, the volatility of the foreign spot price, and the volatility of the exchange rate, we find that the domestic risk-free interest rate, volatility of the foreign spot price, and the volatility of exchange rate have positive correlated with the optimal value of the company. Moreover, due to the correlated relation between the dynamic foreign spot price and the stochastic exchange rate, we analyze the change of the coefficient of correlation between the foreign spot price and the exchange rate, and obtained the more large optimal value of the company when they are more large positive correlated or negative correlated. In other word, we need to consider the influence between the foreign spot rate and the exchange rate at the same time, and then the manager can make the optimal decision about the exporting project. / Finally, we summed up some important conclusions of Chapter 2 and Chapter 3, and then proposed some views and suggestions for the study the theme and the developing direction in the future.

住戶對其居家環境每日必需的管理維護工作通常有兩大類選擇：住戶自行負責或委託管理維護公司。目前國內集合住宅在管理維護執行上的現況，係「自行管理」佔了68﹪，「委託管理」佔32﹪，這樣的比例與香港及日本的集合住宅大部分係屬委託管理的情形相差甚遠。為何台灣集合住宅委託管理的情形較不普遍？究竟是什麼因素在影響住戶對管理維護模式的選擇？而不同的管理模式其管理維護的效果有何不同？又是哪一種管理維護模式最能讓住戶感到滿意？此乃本研究關注之焦點。 實證結果發現，集合住宅的「規模」與「價格」是影響管理模式選擇的關鍵，當戶數規模與管理費用越足夠，選擇委託管理模式的機率將越大。平均而言，高層大廈與社區，選擇委託管理較自行管理的勝算分別為公寓的6．357倍與4．245倍。此外，當戶數規模平均每增加10戶，選擇委託管理模式的機率就會增加3．9﹪；而當管理費用平均每坪增加10元時，選擇委託管理模式的機率亦會增加6．5﹪。 至於管理維護模式與住戶滿意度的探討，委由管理維護公司來維護社區的結果均比自行管理來得讓住戶滿意，而「部分委託管理模式」則是四種模式中滿意度最高者。究其原因，管理公司雖有其專業知能與經驗的優勢，但也可能存在著代理問題，受到這二者相互權衡（trade-off）的影響，全部委託管理的滿意度便不如部分委託管理。 為使理論實證結果能與實務連結，本研究對「規模」與「價格」做門檻值推估，發現委託大樓管理業者的社區，住戶至少每月每坪需繳交70元的管理費，且該社區的總戶數應該在100戶左右，由此可知，台北市集合住宅的平均戶數可能因未達經濟規模門檻值（因為目前已報備管理組織的公寓大廈有八成其戶數都在百戶以下），致使台北市委託管理的情形並不普遍。此外，集合住宅內生存在的協商困難與外部性問題，也是委託管理比例偏低的原因，建議政府應藉租稅優惠方式來使外部效果內部化，並直接或委託民間非營利團體協助輔導集合住宅管理組織之報備，減少其中的協商成本。 　　關鍵字：集合住宅、管理維護、管理模式、住戶滿意度、戶數與管理費門檻值 / Households typically manage their living environment using one of two modes. Under the first, household conducts all of the basic and day-to-day management functions. Under the second approach, the household hires a property management company to provide and monitor a number of services such as repair and maintenance quality control. In Taiwan, the current proportion of the implementation of condominium ( collective housing ) management and maintenance is 68% of owner management and 32@/o of company management. Comparing to Hong Kong and Japan where the company management is more common than owner management, this proportion is far behind. This research is focus on the reason of less popular of company management in Taiwan collective housing and the factors of affecting the choice of management mode. Moreover this research also discusses the results and effects of different management modes and which management mode can provides the highest degree of satisfaction. The empirical results show that the main factors of selections between different management modes are the "scale" and the "price" of the condominium. On average, comparing company management and owner management, the possibility of choosing company management is 6.357 times more in high-rise buildings (above 13 floor) than in apartment (under 5 floor) and 4.245 times more in the community (large projects) than in apartment. Besides, when the scale of the quantity increases additional ten units averagely, the possibility of choosing company management will increase 3.9% ; and when the management cost averagely goes up extra ten dollars per Pin, the possibility of choosing company management will also increase 6.5 % . As for the discussion of the relationship between the management modes and the household satisfaction, general speaking, the household can get more satisfaction from the result of appointing building management & maintenance companies. Moreover, the outcome of "part company management mode" is the most outstanding one in the four types. The reason is that although the company has the professional knowledge and superior management skills, there does also exist the problem of agency. Due to the trade-off relationship, the satisfaction of complete company management mode is less than part company management mode. In order to relate the theoretical model to the practice, this research infers the thresholds of "scale" and "price". The results show that every household in the community which has hired the building management & maintenance industry has to pay 70 NT$ per Pin-Month in average; furthermore, the number of its households should be approximate 100 units. Therefore it can be said because of the fact that the average number of the household in condominium in Taipei might not excess the threshold of economic scale, company management is not very common in Taipei.( note that at this stage 80% of the registered condominium is less than hundred households.). Besides, the reason of low proportion of company management is that there does exist the difficulty in negotiations and externalities. Consequently, it is suggested that government should use the effect of tax policy to intemalize the externalities. It is also recommended that government can direct or indirectly authorize the non-profit organizations to assist home owners associations to register, so that the cost of negotiations can be reduced. keywords: condominium、 management & maintenance 、 management mode、household satisfaction 、 thresholds of "scale" & "price"