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You searched for +publisher:"NSYSU" +contributor:("Chingnum Lee"). Showing records 1 – 2 of 2 total matches.

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NSYSU

1. Liao, Siang-kai. Bayesian Unit Root Test â Application for Exchange Rate Market.

Degree: Master, Economics, 2008, NSYSU

There should be more interpretations which are derived from data, presented by those professional analysts. The empirical rules and knowledge do help as making statistical inference in Econometrics. The approaches from classical statistical analysis make judges simply resulting from historical data. To be frank, the advantage of this analysis is the objectivity, but there is a fatal drawback. That is, it does not pay attention to some logically extra information. This paper is born for the applications of Bayesian, which has the essential characteristic of accepting subjective outlook, applying empirical rules to study unit root test on exchange rate market. Furthermore, the various distributions of data may have direct effect on the classical statistical inference we use, such as Dickey-Fuller and Phillips-Perron test. To take those defects into consideration, this paper tends not to take the assumption of disturbances in normal distribution as granted. For instance, it is quite common for us to confront the heavy-tailed distribution when studying some data of time series related to stocks and targets of investment. Hence, we will apply more generalized model to do research on Bayesian unit root test. Use the model of Schotman and Van Dijk (1991) and assuming disturbance shaped as independent student-t distribution to revise the unit root test, next, applying to exchange rate market. This is the motif of this paper. Advisors/Committee Members: none (chair), Chingnum Lee (committee member), Ming-Jang Weng (chair).

Subjects/Keywords: t Distribution; Empirical Rule; Unit Root; Bayesian; Exchange Rate Market

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Liao, S. (2008). Bayesian Unit Root Test â Application for Exchange Rate Market. (Thesis). NSYSU. Retrieved from http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0624108-181632

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Liao, Siang-kai. “Bayesian Unit Root Test â Application for Exchange Rate Market.” 2008. Thesis, NSYSU. Accessed December 15, 2019. http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0624108-181632.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Liao, Siang-kai. “Bayesian Unit Root Test â Application for Exchange Rate Market.” 2008. Web. 15 Dec 2019.

Vancouver:

Liao S. Bayesian Unit Root Test â Application for Exchange Rate Market. [Internet] [Thesis]. NSYSU; 2008. [cited 2019 Dec 15]. Available from: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0624108-181632.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Liao S. Bayesian Unit Root Test â Application for Exchange Rate Market. [Thesis]. NSYSU; 2008. Available from: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0624108-181632

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


NSYSU

2. Wang, Chung-wei. none.

Degree: Master, Economics, 2008, NSYSU

In the purpose of this study we examine the long run relationship between the flower wholesale markets in Taiwan by the theory of Park (2007). The market integration is analyzed from the viewpoint of the Law of One Price (LOP). The LOP means that the products flow from the lower price markets to the higher price ones without transaction cost utill everywhere have the same price. However, in a situation that the transaction cost exists, the assumption of LOP is questionable. When the price difference between two markets exceeds the transaction cost, there is an arbitrage opportunity. This study examine the relationship between the flower wholesale markets in Taiwan by threshold cointegration theory. The result is that there indeed exists long run relationship and threshold effects. In addition, we consider a time-varing threshold cointegration model in Park (2007), to see whether there are different arbitrage behavious depending on the season between the flower wholesale markets. Finally, we have a result that the same price gap between markets in different season will be in different regime because of the change of the value of threshold. And it causes the seasonal arbitrage behavious. Advisors/Committee Members: Chingnum Lee (committee member), Yuan-Ho Hsu (chair), Ming-Jang Weng (chair).

Subjects/Keywords: unit root test; flower wholesale markets; law of one price; time-varing threshold cointegration; threshold cointegration

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Wang, C. (2008). none. (Thesis). NSYSU. Retrieved from http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0624108-183511

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Wang, Chung-wei. “none.” 2008. Thesis, NSYSU. Accessed December 15, 2019. http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0624108-183511.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Wang, Chung-wei. “none.” 2008. Web. 15 Dec 2019.

Vancouver:

Wang C. none. [Internet] [Thesis]. NSYSU; 2008. [cited 2019 Dec 15]. Available from: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0624108-183511.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Wang C. none. [Thesis]. NSYSU; 2008. Available from: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0624108-183511

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

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