Choy Man Wah Minnie. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2005. / Includes bibliographical references (leaves 83). / Abstracts in English and Chinese. / Abstract --- p.i / Acknowledgement --- p.iii / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- The Analysis of APT using SEM --- p.3 / Chapter 2.1 --- The APT model --- p.3 / Chapter 2.2 --- The structural equation model approach --- p.5 / Chapter 3 --- Incorporating stochastic constraints into the SEM analysis of APT --- p.8 / Chapter 3.1 --- Introduction --- p.8 / Chapter 3.2 --- Bayesian analysis of stochastic constraints --- p.9 / Chapter 3.3 --- Three types of structures for T I --- p.10 / Chapter 3.3.1 --- Case 1: T = (σ2Imxm --- p.10 / Chapter 3.3.2 --- "Case 2: r is a diagonal matrix with diagonal elements σ2j for = 1， …,m" --- p.13 / Chapter 3.3.3 --- Case 3: Γ is a general positive definite matrix --- p.14 / Chapter 3.4 --- Estimation of parameters using the Mx program --- p.16 / Chapter 4 --- Empirical study on Hong Kong stock market --- p.17 / Chapter 4.1 --- Information of data --- p.17 / Chapter 4.2 --- Source of data --- p.17 / Chapter 4.3 --- Lisrel model with exact constraints --- p.19 / Chapter 4.3.1 --- The resultant model --- p.20 / Chapter 4.4 --- Lisrel model with stochastic constraints --- p.21 / Chapter 4.4.1 --- Result --- p.22 / Chapter 5 --- Simulation study --- p.35 / Chapter 5.1 --- Simulation design --- p.35 / Chapter 5.2 --- Simulation procedure --- p.40 / Chapter 5.3 --- Simulation result --- p.41 / Chapter 5.3.1 --- Sample size --- p.41 / Chapter 5.3.2 --- Analysis methods (constraints) --- p.42 / Chapter 5.3.3 --- Factor loadings --- p.43 / Chapter 5.3.4 --- Factor correlation matrix --- p.43 / Chapter 5.3.5 --- Risk premia --- p.43 / Chapter 5.3.6 --- Overall result --- p.44 / Chapter 6 --- Conclusion and discussion --- p.45 / Appendices --- p.46 / Chapter A --- Simulation result - Mean --- p.47 / Chapter B --- Simulation result - Bias --- p.56 / Chapter C --- Simulation result - RMSE --- p.65 / Chapter D --- Mx input script --- p.74 / Chapter D.l --- Stochastic constraints Case 1 --- p.74 / Chapter D.2 --- Stochastic constraints Case 2 --- p.77 / Chapter D.3 --- Stochastic constraints Case 3 --- p.80 / Bibliography --- p.83
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_325349 |
| Date | January 2005 |
| Contributors | Choy, Man Wah Minnie., Chinese University of Hong Kong Graduate School. Division of Statistics. |
| Source Sets | The Chinese University of Hong Kong |
| Language | English, Chinese |
| Detected Language | English |
| Type | Text, bibliography |
| Format | print, vii, 83 leaves ; 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/) |
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