臺灣人文及社會科學引文索引資料庫系統

:::

詳目顯示

回上一頁
第 1 筆 / 總合 1 筆   第一頁 上一頁 下一頁 最後一頁
/1頁
題名：兩篇財務工程論文類神經網路與Copula的應用
作者：黃思瑋
作者(外文)：Huang, Si Wei
校院名稱：國立交通大學
系所名稱：財務金融研究所
指導教授：王克陸
學位類別：博士
出版日期：2010
主題關鍵詞：類神經網路；非線性；財務工程；neural network；copula；financial engineering
原始連結：連回原系統網址new window
相關次數：
  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:0
  • 共同引用共同引用:0
  • 點閱點閱:421
This thesis encompasses two essays in financial engineering. In the first essay, we apply artificial neural network methodology to evaluate mutual fund performance. Application of financial information systems requires instant and fast response for continually changing market conditions. The purpose of this essay is to construct a mutual fund performance evaluation model utilizing the fast adaptive neural network classifier (FANNC), and to compare its performance in classification and forecasting with those from a backpropagation neural network (BPN) model. FANNC is a newly-developed model which combines features of adaptive resonance theory and field theory. In our experiment, the FANNC approach requires much less time than the BPN approach to evaluate mutual fund performance. Root mean square error is also superior for FANNC. These results hold for both classification problems and for prediction problems, making FANNC ideal for financial applications which require massive volumes of data and routine updates. Consequently, an on-line evaluation system can be established to provide real time mutual fund performance for investors.
In the second essay, we apply a copula methodology to study the dynamic dependence structures between Chinese market and other major markets in the world, admitting China’s increasing integration with the global economy. Through the use of time-varying copula models, our data shows conditional copulas outperform unconditional copula and the conventional GARCH models. We consistently find Chinese market experiences a high degree of dependence with markets in Japan and in the Pacific. Meanwhile, the variations of these dependences are also higher. For investors interested in China’s market, our results can provide more timely suggestions on portfolio diversification, risk management, and international asset allocation than those implied by static models.
This thesis encompasses two essays in financial engineering. In the first essay, we apply artificial neural network methodology to evaluate mutual fund performance. Application of financial information systems requires instant and fast response for continually changing market conditions. The purpose of this essay is to construct a mutual fund performance evaluation model utilizing the fast adaptive neural network classifier (FANNC), and to compare its performance in classification and forecasting with those from a backpropagation neural network (BPN) model. FANNC is a newly-developed model which combines features of adaptive resonance theory and field theory. In our experiment, the FANNC approach requires much less time than the BPN approach to evaluate mutual fund performance. Root mean square error is also superior for FANNC. These results hold for both classification problems and for prediction problems, making FANNC ideal for financial applications which require massive volumes of data and routine updates. Consequently, an on-line evaluation system can be established to provide real time mutual fund performance for investors.
In the second essay, we apply a copula methodology to study the dynamic dependence structures between Chinese market and other major markets in the world, admitting China’s increasing integration with the global economy. Through the use of time-varying copula models, our data shows conditional copulas outperform unconditional copula and the conventional GARCH models. We consistently find Chinese market experiences a high degree of dependence with markets in Japan and in the Pacific. Meanwhile, the variations of these dependences are also higher. For investors interested in China’s market, our results can provide more timely suggestions on portfolio diversification, risk management, and international asset allocation than those implied by static models.
Ahn, B. S., Cho, S. S., & Kim, C. Y. (2000). The integrated methodology of rough set theory and artificial neural network for business failure prediction. Expert Systems with Applications, 18, 65–74.
Atsalakis, G. S., & Valavanis, K. P. (2009). Surveying stock market forecasting techniques – Part II: Soft computing methods. Expert Systems with Applications, 36(3), 5932–5941 (Part 2).
Brown, S. J., & Goetzmann, W. N. (1995). Performance persistence. Journal of Finance,4, 141–166.
Carhart, M. M. (1997). On persistence in mutual fund performance. Journal of Finance, 52, 57–82.
Carpenter, G. A., & Grossberg, S. (1987). A massively parallel architecture for a selforganizing neural pattern recognition machine. Computer Vision, Graphics, and Image Processing, 37, 54–115.
Chiang, W. C., & Baldridge, G. W. (1995). A neural network approach to mutual fund net asset value forecasting. Omega, 205–214 (November).
Davalos, S., Gritta, R. D., & Chow, G. (1999). The application of neural network approach to predicting bankruptcy risks facing major US air carriers: 1979–1996. Journal of Air Transport Management, 5, 81–86.
Grinblatt, M., Sheridan, T., & Wermers, R. (1995). Momentum investment strategies, portfolio performance, and herding: A study of mutual fund behavior. The American Economic Review, 85(5), 1088–1105.
Hameed, A., & Kusnad, Y. (2002). Momentum strategies: Evidence from pacific basin stock markets. Journal of Financial Research, 25, 383–397.
Indro, D. C., Jiang, C. X., Patuwo, B. E., & Zhang, G. P. (1999). Predicting mutual fund performance using artificial neural networks. The International Journal of Management Science, 27, 373–380.
Jensen, M. C. (1968). The performance of mutual funds in the period. Journal of Finance, 23, 389–416.
Kim, K. A., & Nofsinger, J. R. (2005). Institutional herding, business groups, and economic regimes: Evidence from Japan. Journal of Business, 78(1). Kohonen, T. (1989). Self-organization and associative memory. Berlin: Springer-Verlag Press.new window
Lakonishok, J., Shleifer, A., & Vishny, R. (1992). The impact of institutional trading on stock price. Journal of Financial Economics, 32, 23–43.
Lam, M. (2004). Neural network techniques for financial performance prediction: Integrating fundamental and technical analysis. Decision Support Systems, 37, 567–581.
Ray, P. & Vina, V. (2004). Neural network models for forecasting mutual fund net asset value. In 8th Capital markets conference. Indian Institute of Capital Markets Paper.
Serrano-Cinca, C. (1996). Self-organization neural networks for financial diagnosis. Decision Support System, 17, 227–238.
Sharpe, W. F. (1966). Mutual fund performance. Journal of Business, 39, 119–138.
Sias, R. W. (2004). Institutional herding. The Review of Financial Studies, 17(1), 165–206.new window
Smith, K. A., & Gupta, J. (2000). Neural network in business: Techniques and applications for the operation researcher. Computers and Operation Research, 27, 1023–1044.
Stern, H. S. (1996). Neural networks in applied statistics. Technometrics, 38, 205–220.
Surkan, A. J. & Singleton, J. C. (1989). Neural networks for bond rating improved by multiple hidden layers. In IJCNN-89 (pp. 157–162).
Treynor, J. L. (1965). How to rate management of investment funds. Harvard Business Review(13), 63–75.
Udo, G. (1993). Neural network performance on bankruptcy classification problem. Computer and Industrial Engineering, 25, 377–380.
Zhou, Z., Chen, S., & Chen, Z. (2000). FANNC: Fast adaptive neural network classifier. Knowledge and Information System, 2, 115–129.
Abid,F. and Naifar, N., 2004. ‘The impact of stock returns volatility on credit default swap rates: A copula study’, International Journal of Theoretical and Applied Finance 8, 1135-1155.
Ane, T., & Labidi, C. (2006). Spillover effects and conditional dependence, International Review of Economics and Finance, 15, 417-442.
Andersen, T.L. and Benzoni, J., L., 2002. ‘An empirical investigation of continuous-time equity return models’, Journal of Finance 57, 1239-1284.
Andreev, A. and Kanto.A, 2005. ‘Conditional value-at-risk estimation using non-inter values of degree of freedom in Student’s t-distribution’, The Journal of Risk 7, 55-62
Ang, A. and Bekaert, G., 2002. ‘International asset allocation under regime switching’, Review of Financial Studies 15, 1137-1187
Avellaneda, M., Wu, W., 2001. ‘Credit contagion: Pricing cross-country risk in brady debt markets’, International Journal of Theoretical and Applied Finance 4, 921-938.
Bae, K. H., Karolyi, G. A. and Stulz, R. M., 2003. ‘A new approach to measuring financial contagion’, The Review of Financial Studies 16, 717-763.
Baek, In-Mee, Bandopadhyaya, A. and Du, C., 2005. ‘Determinants of market-assessed sovereign risk: Economic fundamentals or market risk appetite?’, Journal of International Money and Finance 24, 533-548
Bauer, C. Herz, B. and Karb, V., 2003. ‘Another twin crisis: Currency and debt’, working paper, University of Bayreuth.
Baur, D.G. (2007). Contagion or interdependence? An empirical analysis of the linkages between the Chinese and the German stock markets. Working paper. Dublin City University.
Bates, D. S., 1996. ‘Jump and stochastic volatility: Exchange rate process implicit in Deutsche Mark options’, The Review of Financial Studies, 9, 69-107.
Batten, J. and Hogan, W., 2002. ‘A perspective on credit derivatives’, International Review of Financial Analysis 11, 251-278
Bartram, S.M., & Dufey, G. (2001). International portfolio investment: theory, evidence and institutional framework. Financial Markets, Institutions & instruments, 10(3), 85-155.
Bartram, S.M., Taylor, S.J., & Wang, Y.H. (2007). The Euro and European financial market dependence. Journal of Banking and Finance, 31, 1461-1481.
Beattie, J., 2000. ‘Contagion in Latin America: An analysis of credit derivatives’, working paper, Duke University.
Bee, M., 2004. ‘Modeling credit default swap spreads by means of normal mixtures and copulas’, Applied Mathematical Finance 11, 125-146.
Bekaert, G., Harvey, C. R. and Ng, A., 2005. ‘Market integration and contagion’, Journal of Business 78, 39-69
Benkert, C., 2004. ‘Explaining Credit Default Swap Premia’, The Journal of Futures Markets 24, 71-92
Berg, A., Patillo, C., 1999. ‘Are currency crises predictable? A test’, IMP Staff Papers 46, 107-138
Blanco,R, Brennan,S and Marsh, I.W., 2005. ‘An empirical analysis of the dynamic relation between investment-grade bonds and credit default swaps’, Journal of Finance 60, 2255-2281.
Boehmer, B. and Megginson, W. L., 1990. ‘Determinants of secondary market prices for developing country syndicated loans’, Journal of Finance 45, 1517-1540
Breymann, W., Dias, A., & Embrechts, P. (2003). Dependence structures for multivariate high-frequency data in finance. Quantitative Finance, 3(1),1-16.new window
Caporale, G. M, Cipollini, A. and Spagnolo, N., 2005. ‘Testing for contagion: a conditional correlation analysis’, Journal of Empirical Finance 12, 476-489
Cariboni, J. and Schoutens, W., 2004. ‘Pricing credit default swaps under Levy model’, working paper, European Commission and K.U. Leuven.
Chacko, G. and Viceira, L. M., 2003. ‘Spectral GMM estimation of continuous-time processes’, Journal of Econometrics 116, 259-292.
Chan-Lau, Jorge A., 2003. ‘Anticipating credit events using credit default swaps, with an application to sovereign debt crises’, IMF working paper.
Chan, K.C., Fung, H.G., & Thapa, S. (2007). China financial research: A review and synthesis. International Review of Economics and Finance, 16, 416-428.
Chan, L., Lien, D., & Wang, W. (2008). Financial interdependence between Hong Kong and the US: A band spectrum approach. International Review of Economics and Finance, 17, 507-516.
Chang, A.K.H., Chou, S.L., & Wu, C.S. (2000). International transmission of stock market movements within the great China economic area. PanPacific Management Review, 3(2), 283-198.
Cheng, H., & Glascock, J.L. (2005). Dynamic linkages between the greater China economic area stock markets-mainland China, Hong Kong and Taiwan. Review of Quantitative Finance and Accounting, 24, 343-357.
Cherubini, U., Luciano, E. and Vecchiato, W., 2004. ‘Copula method in finance’, John Wiley & Sons, Ltd.
Christoffersen, P.F. (1998). Evaluating interval forecasts. International Economic Review, 39(4), 841-862.
Clemente, A. and Romano, C., 2004. ‘Measuring and optimizing portfolio credit risk: A copula-based approach’, Economic Notes 33, 325-357.
Collin-Dufresne, P., Goldstein, R. S. and Martin, J. S., 2001. ‘The determinants of credit spread changes’, Journal of Finance 56, 2177-2207.
Cossin, D. and Hricko, T., 2001. ‘Exploring for the determinants of credit risk in credit default swap transaction data’, working paper, University of Lausanne.
Dages, B.G., Palmer, D. and Turney, S., 2005. ‘An overview of the emerging market credit derivatives market’, Federal Reserve Bank of New York
Dias, A. and Embrechts, P., 2003. ‘Dynamic copula models for multivariate high-frequency data in finance’, working paper, Department of Mathematics, ETH Zurich University in Switzerland.
Didier, T., Mauro, P. and Schmukler, S., 2006. ‘Vanishing contagion?’, IMF working paper.
Drost, F.C., Nijman,T.E. and Werker, B.J.M., 1998. ‘Estimation and testing in models containing both jumps and conditional heteroskedasticity’, Journal of Business and Economic Statistics 16, 237-243.
Duffie,D., 1999. ‘Credit swap valuation’, Financial Analysts Journal 55, 73-87.
Dungey, M. and Tambakis, D., 2003. ‘Identifying international financial contagion: Progress and Challenges’, Oxford University Press Inc, USA.
Durbin, Erik and Ng, D., 2005. ‘The sovereign ceiling and emerging market corporate bond spreads’, Journal of International Money and Finance 24, 631-649.
Edison, H., 2000. ‘Do indicators of financial crises work? An evaluation of an early warning system’, Federal Reserve Board Working Paper in International Finance No. 2000-675.
Elkinawy, S., 2005. ‘Mutual fund preferences for Latin American equities surrounding financial crises’, Emerging Market Review 6, 211-237.
Engle, R.F., & Ng, V.K. (1993). Measuring and testing the impact of news on volatility. Journal of Finance, 48, 1749-1778.
Fang, H. and Fang, K., 2002. ‘The meta-elliptical distributions with given marginals’, Journal of Multivariate Analysis 82, 1-16.
Favero, C.A. and Giavazzi, F., 2002. ‘Is the international propagation of financial shocks non-linear? Evidence from the ERM.’, Journal of International Economics 51, 231-246.
Forbes, K.J., 2004. ‘The Asian flu and Russian virus: the international transmission of crises in firm-level data’, Journal of International Economics 63, 59-92
Forbes, K.J. and Rigobon, R., 2002. ‘No contagion, only interdependence: measuring stock market comovements’, Journal of Finance 57, 2223-2261.
Frey, R., and McNeil, A.J., 2001. ‘VaR and expected shortfall in portfolios of dependent credit risks: Conceptual and practical insights’, Journal of Banking and Finance 26, 1317-1334.
Friend, A. and Rogge, E., 2005. ‘Correlation at first sight’, Economic Notes 34, 155-183.
Galiani, S. S., 2003. ‘Copula functions and their application in pricing and risk managing multi-name credit derivatives products’, working paper, University of London.
Gande, A. and Parsley, D.C., 2005. ‘News spillovers in the sovereign debt market’, Journal of Financial Ecnomics 75, 691-734.
Gelos, R. G. and Wei, S.J., 2005. ‘Transparency and International Portfolio Holdings’, The Journal of Finance LX, 2987-3020
Giesecke, K., 2002. ‘Correlated Default, incomplete information, and the term structure of credit spreads’, a dissertation in Humboldt University.
Giesecke, K., 2004. ‘Credit risk modeling and valuation: An introduction’, published in Credit risk: Models and Management 2nd edition, London.
Giesecke, K., 2004. ‘Correlated default with incomplete information’, Journal of Banking and Finance, 28, 1521-1545.
Glick, R. and Rose, A. K., 1999. ‘Contagion and trade: Why are currency crises regional?’, Journal of International Money and Finance 18, 603-617.
Glosten, L.R., Jagannathan, R., & Runkle, D. (1993). Relationship between the expected value and the volatility of the nominal excess return on stocks. Journal of Finance, 48, 1779-1801.
Goderis, B. and Wagner, W., 2005. ‘Credit derivatives and sovereign debt crises’, working paper, University of Cambridge and Tilburg.
Goetzmann, W.N., Li, L., & Rouwenhorst, K.G. (2005). Long-term global market correlations. Journal of Business, 78, 1-37.
Han, Ki C, Lee, S.H and Y. Suk, D, 2003. ‘Mexican peso crisis and its spillover effects to emerging market debt’, Emerging Markets Review l4, 310-326
Heikkinen, V-P. and Kanto, A., 2002. ‘Value-at-risk estimation using non-integer degrees of freedom of Student’s distribution’, The Journal of Risk 4, 77-84
Herz, B and Tong, H. 2003. ‘Debt and currency crisis’, University of Bayreuth discussion paper.
Hu, J. (2010). Dependence structures in Chinese and U.S. financial markets: A time-varying conditional copula approach. Applied Financial Economics, 20, 561 – 583.
Hull, J. C and White, A., 2000. ‘Valuing credit default swaps I: no counterparty default risk’, Journal of Derivatives 8, 29-40
Hull, J. C and White, A, 2000. ‘Valuing credit default swaps II: modeling default correlation’, Journal of Derivatives 8, 12-22
Hyde, S., Bredin, D. & Nguyen, N. (2007). Correlation dynamics between Asia-Pacific, EU and US stock returns. International Finance Review,8 ,39-61.
Joe, H., 1997. ‘Multivariate models and dependence concepts’, Chapman and Hall/CRC, London.
Joe, H. and Xu, J. J., 1996. ‘The estimation method of inference functions for margins for multivariate models, working paper, Department of Statistics, University of British Columbia Technical Report no. 166.
Jondeau, E., & Rockinger, M. (2006). The copula-garch model of conditional dependences: An international stock market application. Journal of Inernational Money and Finance, 25(5), 827-853.
Kaminsky, G. and Reinhart, C.M., 2000. ‘ On crises, contagion and confusion’, Journal of International Money and Finance 51, 145-168
Kaminsky, G. and Reinhart, C. M., 2002. ‘Financial markets in times of distress’, Journal of Development Economics 69, 451-470.
Kraay, A. Loayza, N. and Serven, L., 2004. ‘Country portfolios’, The World bank working paper.
Lane, P.R. (2006). The international financial integration of China and India. No 4132, Policy Research Working Paper Series. The World Bank.
Li, D.X., 2000. ‘On default correlation: A copula function approach’, Journal of Fixed Income, 9, 43-54.
Li, H. (2007). International linkages of the Chinese stock exchanges: A multivariate GARCH analysis. Applied Financial Economics, 17(4), 285-297.
Longin, F. and Solnik, B., 2001. ‘Extreme correlation of international equity market’, Journal of Finance 56, 645-676
Lu, C.C., 2005. ‘Evaluating the international CAPM from a distributional perspective’, working paper, Columbia University.
Mashal, R. and Zeevi, A., 2002. ‘Beyond correlation: Extreme co-movements between financial assets’, working paper, Columbia University.
Mason, S.P. and Bhattacharya, S., 1981. ‘Risky debt, jump process, and safety covenants’, Journal of Financial Economics 9, 281-307.
Mauro, P., Sussman, N. and Yafeh, Y., 2002. ‘Emerging market spreads: then versus now’, The Quarterly Journal of Economics 117, 695-733
Meneguzzo, D. and Vecchiato, W., 2004. ‘Copula sensitivity in collateralized debt obligations and basket default swaps’, The Journal of Futures Markets 24, 37-70.
Neftci, S,, Andre, O. S. and Lu, Y., 2005. ‘Credit default swaps and financial crisis prediction’, working paper, City University of New York.
Nelson, R. B., 1999. ‘An introdution to copula’, Springer-Verlag New Youk, Inc.
Norden, L. and Weber, M., 2004. ‘ The comovement of credit default swap, bond and stock markets: an empirical analysis’, CFS working paper
Pan, J., 2002. ‘The jump-risk premia implicit in options: evidence from an integrated time-series study’. Journal of Financial Economics 63, 3-50
Patton, A.J. (2006a). Modelling asymmetric exchange rate dependence. International Economic Review, 47, 527-556.
Patton, A.J. (2006b). Estimation of multivariate models for time series of possibly different lengths. Journal of Applied Econometrics, 21, 147-173.
Peter, M. and Grandes, M., 2005. ‘How important is sovereign risk in determining corporate corporate default premia? The case of South Africa’, IMF working paper.
Poon, S. H., Rockinger, M. and Tawn, J., 2004. ‘Extreme value dependence in financial markets : Diagnostics, models, and financial implications’. The Review of Financial Studies 17, 581-610
Quintos, C., Fan, Z. and Phillips, P.C.B., 2001. ‘Structural change test in tail behavior and the Asian crisis’, Review of Economic Studies 68, 633-663.
Reinhart, C. M. 2002. ‘Default, currency crises and sovereign credit ratings’, NBER working paper No. 8738.
Rigobon, R., 2002. ‘The curse of non-investment grade countries’, Journal of Development Economics 69, 423-449.
Rivers, D., & Vuong, Q. (2002). Model selection tests for nonlinear dynamic models. Econometrics Journal, 5(1), 1-39.new window
Rodriguew, J. C., 2003. ‘Measuring Financial Contagion: A copula approach’, working paper, EURANDOM.
Sander, H. and Kleimeier, S., 2000. ‘Contagion and Causality: An empirical investigation of four Asian crisis episodes’, unpublished, University of Applied Science Cologne and Maastricht University. .
Skinner, F. S. and Townend, T. G., 2002. ‘An empirical analysis of credit default swaps’, International Review of Financial Analysis 11, 297-309.
Susmel, R., 2001, ‘Extreme observations and diversification in Latin American emerging equity markets’, Journal of International Money and Finance 20, 971-986.
Sun, Q., Tong, W.H.S., & Yan, Y. (2009). Market liberalization within a country. Journal of Empirical Finance, 16, 18-41.
Xu, X.E., & Fung, H.G. (2002). Information flows across markets: Evidence from China-backed stocks dual-listed in Hong Kong and New York. The Financial Review, 37, 563-588.
Yuan, K., 2002. ‘The liquidity service of sovereign bonds’, working paper, University of Michigan Business School.
Zhang, B. Y., Zhou, H. and Zhu, H., 2005. ‘Explaining credit default swap spreads with equity volatility and jump risks of individual firms’, BIS working paper No.181.
Zhang, F. X., 2003. ‘What did the credit market expect of Argentina default? Evidence from default swap data’, working paper, Federal Reserve Board, Division of Research and Statistics.
Zhou, C., 2001. ‘The term structure of credit spreads with jump risk’, Journal of Banking and Finance 25, 2015-2040.
Zhou, C., 2001. ‘An analysis of default correlation and multiple defaults’, Review of Financial Studies 14, 555-576.
Zhu, H., 2005. ‘An empirical comparison of credit spreads between the bond market and the credit default swap market’, working paper, Bank for International Settlement

 
 
 
 
第一頁 上一頁 下一頁 最後一頁 top
QR Code
QRCODE

臺灣人文及社會科學引文索引資料庫

目前上線人數：864（臺灣：849，外國：15） ／ 本年度總使用人次：2581353 ／ 訪客人次（自102年09月）：68385897
國家圖書館著作權聲明 Copyright © 2013 All rights reserved.
本館地址: 100201臺北市中山南路20號． 本館地圖及交通資訊．
總機：(02)23619132．最佳瀏覽解析度為1024x768以上