by Wai-Man Leung. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1998. / Includes bibliographical references (leaves 107-112). / Abstract also in Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 1.1 --- Problems of Cointegration Analysis --- p.1 / Chapter 1.2 --- Contributions of this Research --- p.2 / Chapter 1.3 --- Applications of this Research --- p.3 / Chapter 1.4 --- Organization of this Thesis --- p.3 / Chapter 2 --- Foreign Exchange Features --- p.5 / Chapter 2.1 --- Spot Exchange Rate Markets --- p.5 / Chapter 2.2 --- Development of International Monetary System --- p.6 / Chapter 2.3 --- Determinants of Foreign Exchange Rates --- p.7 / Chapter 2.4 --- Description of Foreign Exchange Data --- p.9 / Chapter 3 --- Literature Overview --- p.17 / Chapter 3.1 --- Model Selection --- p.17 / Chapter 3.2 --- Line and Curve Detection......................................................' --- p.20 / Chapter 3.3 --- Concluding Remarks --- p.23 / Chapter 4 --- Regression by Minor Component Analysis --- p.24 / Chapter 4.1 --- Regression by Ordinary Least Squares --- p.24 / Chapter 4.2 --- Regression by Total Least Squares --- p.27 / Chapter 4.3 --- The comparison of PCA and MCA --- p.28 / Chapter 4.4 --- Experiment 4A : Regression on Artifical Data --- p.29 / Chapter 4.5 --- Experiment 4B : Regression on FX Data --- p.30 / Chapter 4.6 --- Concluding Remarks --- p.32 / Chapter 5 --- Cointegration Test by Minor Component Analysis --- p.33 / Chapter 5.1 --- Concept of Cointegration --- p.33 / Chapter 5.2 --- MCA Based Cointegration Test --- p.34 / Chapter 5.3 --- Experiment 5B : Cointegration Test on FX Data --- p.36 / Chapter 5.4 --- Concluding Remarks --- p.38 / Chapter 6 --- Model Selection by Minor Component Analysis --- p.44 / Chapter 6.1 --- Hypothesis Test on Minor Component Coefficients --- p.44 / Chapter 6.2 --- Experiment 6B : Forward Selection on FX Data --- p.46 / Chapter 6.3 --- Experiment 6B : Backward Elimination on FX Data --- p.50 / Chapter 6.4 --- Experiment 6C : MCA Based Selection on FX Data --- p.53 / Chapter 6.5 --- Concluding Remarks --- p.54 / Chapter 7 --- Cointegration by Modular MCA --- p.55 / Chapter 7.1 --- Ordinary Modular MCA Based Cointegration --- p.56 / Chapter 7.2 --- Experiment 8A : OMMCA on Artificial Data --- p.58 / Chapter 7.3 --- Experiment 8B : OMMCA on FX Data --- p.63 / Chapter 7.4 --- Variable-Dependent Modular MCA Method --- p.71 / Chapter 7.5 --- "Experiment 8C : VMMCA on Artificial Data," --- p.73 / Chapter 7.6 --- Experiment 8D : VMMCA on FX Data --- p.80 / Chapter 7.7 --- Adaptive Modular MCA Based Cointegration --- p.89 / Chapter 7.8 --- Experiment 8E : AMMCA on Artificial Data --- p.90 / Chapter 7.9 --- Experiment 8F : AMMCA on FX Data --- p.94 / Chapter 7.10 --- Concluding Remarks --- p.103 / Chapter 8 --- Conclusions and Future Works --- p.105
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_322309 |
| Date | January 1998 |
| Contributors | Leung, Wai-Man., Chinese University of Hong Kong Graduate School. Division of Computer Science and Engineering. |
| Source Sets | The Chinese University of Hong Kong |
| Language | English, Chinese |
| Detected Language | English |
| Type | Text, bibliography |
| Format | print, xi, 112 leaves : ill. ; 30 cm. |
| Rights | Use of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/) |
Page generated in 0.0022 seconds