المؤلفون: 黃仕鴻, Huang, Shih-Hung

المساهمون: 徐士勛, Hsu, Shih-Hsun

مصطلحات موضوعية: 稀疏因子模型, 總體潛在因子, 產業類股報酬, 股價報酬, 波動性, Sparse Factor Model, Macroeconomic Latent Factors, Industry Sector Returns, Stock Price Returns, Volatility

وصف الملف: 1156588 bytes; application/pdf

Relation: 張卓眾與王祝三(2013)，「台灣時間序列與橫斷面股票報酬之研究：不同模型設定、投資組合建構以及樣本選擇下之再檢測」，《經濟研究》，49(1)，31-88。 顧廣平(2005)，「單因子、三因子或四因子模式？」，《證券市場發展季刊》，17(2)，101-146。 Bai, J. and Ng, S. (2013), “Principal Components Estimation and Identification of Static Factors”, Journal of Economics, 176, 18-29. Holloway, R. (2011), “An Empirical investigation of the APT in a Frontier Stock Market,” Munich Personal RePEc Archive, No.38675. Onatski, A. (2010), “Determining the Number of Factors from Empirical Distribution of Eigenvalues,” The Review of Economics and Statistics, 92(4), 1004-1016. Sarianidis, N., Giannarakis, G., Litinas, N. and Konteos, G. (2010), “A GARCH Examination of Macroeconomic Effects on U.S. Stock Market: A Distinction Between the Total Index and the Sustainability Index,” European Research Studies, Issue(1). Uematsu, Y. and Yamagata, T. (2019), “Estimation of Weak Factor Model,” Ecinstor, ISER Discussion Paper, No.1053. Uematsu, Y. and Yamagata, T. (2021), “Inference in Sparsity-induced Weak Factor Models,” Journal of Business & Economic Statistics.; G0111258023; https://nccur.lib.nccu.edu.tw//handle/140.119/152702; https://nccur.lib.nccu.edu.tw/bitstream/140.119/152702/1/802301.pdf

الاتاحة: https://nccur.lib.nccu.edu.tw//handle/140.119/152702
https://nccur.lib.nccu.edu.tw/bitstream/140.119/152702/1/802301.pdf