To see the other types of publications on this topic, follow the link: Vasicek short rate model.
Dissertations / Theses on the topic 'Vasicek short rate model'
Create a spot-on reference in APA, MLA, Chicago, Harvard, and other styles
Consult the top 27 dissertations / theses for your research on the topic 'Vasicek short rate model.'
Next to every source in the list of references, there is an 'Add to bibliography' button. Press on it, and we will generate automatically the bibliographic reference to the chosen work in the citation style you need: APA, MLA, Harvard, Chicago, Vancouver, etc.
You can also download the full text of the academic publication as pdf and read online its abstract whenever available in the metadata.
Browse dissertations / theses on a wide variety of disciplines and organise your bibliography correctly.
1
Bayazit, Dervis. "Yield Curve Estimation And Prediction With Vasicek Model." Master's thesis, METU, 2004. http://etd.lib.metu.edu.tr/upload/12605126/index.pdf.
Full textAbstract:
The scope of this study is to estimate the zero-coupon yield curve of tomorrow by using Vasicek yield curve model with the zero-coupon bond yield data of today. The raw data of this study is the yearly simple spot rates of the Turkish zero-coupon bonds with different maturities of each day from July 1, 1999 to March 17, 2004. We completed the missing data by using Nelson-Siegel yield curve model and we estimated tomorrow yield cuve with the discretized Vasicek yield curve model.
2
Tomassini, Monia. "Pricing in stochastic-local volatility models with default." Master's thesis, Alma Mater Studiorum - Università di Bologna, 2014. http://amslaurea.unibo.it/7043/.
Full textAbstract:
In recent years is becoming increasingly important to handle credit risk. Credit risk is the risk associated with the possibility of bankruptcy. More precisely, if a derivative provides for a payment at cert time T but before that time the counterparty defaults, at maturity the payment cannot be effectively performed, so the owner of the contract loses it entirely or a part of it. It means that the payoff of the derivative, and consequently its price, depends on the underlying of the basic derivative and on the risk of bankruptcy of the counterparty. To value and to hedge credit risk in a consistent way, one needs to develop a quantitative model. We have studied analytical approximation formulas and numerical methods such as Monte Carlo method in order to calculate the price of a bond. We have illustrated how to obtain fast and accurate pricing approximations by expanding the drift and diffusion as a Taylor series and we have compared the second and third order approximation of the Bond and Call price with an accurate Monte Carlo simulation. We have analysed JDCEV model with constant or stochastic interest rate. We have provided numerical examples that illustrate the effectiveness and versatility of our methods. We have used Wolfram Mathematica and Matlab.
3
Henningsson, Peter, and Christina Skoglund. "A framework for modeling the liquidity and interest rate risk of demand deposits." Thesis, KTH, Matematisk statistik, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-187478.
Full textAbstract:
The objective of this report is to carry out a pre-study and develop a framework for how the liquidity and interest rate risk of a bank's demand deposits can be modeled. This is done by first calibrating a Vasicek short rate model and then deriving models for the bank's deposit volume and deposit rate using multiple regression. The volume model and the deposit rate model are used to determine the liquidity and interest rate risk, which is done separately. The liquidity risk is determined by a liquidity quantile which estimates the minimum deposit volume that is expected to remain in the bank over a given time period. The interest rate risk is quantified by an arbitrage-free valuation of the demand deposit which can be used to determine the sensitivity of the net present value of the demand deposit caused by a parallel shift in the market rates. Furthermore, an immunization and a replicating portfolio are constructed and the performances of these are tested when introducing the same parallel shifts in the market rates as in the valuation of the demand deposit. The conclusion of this thesis is that the framework for the liquidity risk management that is developed gave satisfactory results and could be used by the bank if the deposit volume is estimated on representative data and a more accurate model for the short rate is used. The interest rate risk framework did however not yield as reliable results and would be more challenging to implement as a more advanced model for the deposit rate is required.Målet med denna rapport är att utveckla ett ramverk för att bestämma likviditets-och ränterisken som är relaterad till en banks inlåningsvolym. Detta görs genom att först ta fram en modell för korträntan via kalibrering av en Vasicek modell. Därefter utvecklas, genom multipelregression, modeller för att beskriva bankens inlåningsvolym och inlåningsränta. Dessa modeller används för att kvantifiera likviditets- och ränterisken för inlånings-volymen, vilka beräknas och presenteras separat. Likviditetsrisken bestäms genom att en likviditetskvantil tas fram, vilken estimerar den minimala inlånings-volymen som förväntas kvarstå hos banken över en given tidsperiod. Ränterisken kvantifieras med en arbitragefri värdering av inlåningen och resultatet används för att bestämma känsligheten för hur nuvärdet av inlåningsvolymen påverkas av ett parallellskifte. Utöver detta bestäms en immuniseringsportfölj samt en rep-likerande portfölj och resultatet av dessa utvärderas mot hur nuvärdet förändras givet att samma parallellskifte i ränteläget som tidigare introduceras. Slutsatsen av projektet är att det framtagna ramverket för att bestämma likviditetsrisken för inlåningen gav bra resultat och skulle kunna implementeras i dagsläget av banken, förutsatt att volymmodellen estimeras på representativ data samt att en bättre modell för korträntan används. Ramverket för att bestämma ränterisken gav dock inte lika tillförlitliga resultat och är mer utmanande att implementera då en mer avancerad modell för inlåningsräntan krävs.
4
Pumprová, Zuzana. "Valuation Methods of Interest Rate Options." Master's thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-73665.
Full textAbstract:
The subject of this thesis are selected interest rate models and valuation of interest rate derivatives, especially interest rate options. Time-homogeneous one-factor short rate models, Vasicek and Cox-Ingersoll-Ross, and time-inhomogeneous short rate model, Hull{White, are treated. Heath-Jarrow-Morton framework is introduced as an alternative to short rate models, evolving the entire term structure of interest rates. The short rate models are shown to be special cases of models within the framework. The models are derived using the risk-neutral pricing methodology.
5
Luo, Yi. "Spread Option Pricing with Stochastic Interest Rate." BYU ScholarsArchive, 2012. https://scholarsarchive.byu.edu/etd/3269.
Full textAbstract:
In this dissertation, we investigate the spread option pricing problem with stochastic interest rate. First, we will review the basic concept and theories of stochastic calculus, give an introduction of spread options and provide some examples of spread options in different markets. We will also review the market efficiency theory, arbitrage and assumptions that are commonly used in mathematical finance. In Chapter 3, we will review existing spread pricing models and term-structure models such as Vasicek Mode, and the Heath-Jarrow-Morton framework. In Chapter 4, we will use the martingale approach to derive a partial differential equation for the price of the spread option with stochastic interest rate. In Chapter 5, we will study the spread option numerically. We will conclude this dissertation with ideas for future research.
6
Senturk, Huseyin. "An Empirical Comparison Of Interest Rate Models For Pricing Zero Coupon Bond Options." Master's thesis, METU, 2008. http://etd.lib.metu.edu.tr/upload/3/12609786/index.pdf.
Full textAbstract:
The aim of this study is to compare the performance of the four interest rate
models (Vasicek Model, Cox Ingersoll Ross Model, Ho Lee Model and Black Der-
man Toy Model) that are commonly used in pricing zero coupon bond options.
In this study, 1{5 years US Treasury Bond daily data between the dates June 1,
1976 and December 31, 2007 are used. By using the four interest rate models,
estimated option prices are compared with the real observed prices for the begin-
ing work days of each months of the years 2004 and 2005. The models are then
evaluated according to the sum of squared errors. Option prices are found by
constructing interest rate trees for the binomial models based on Ho Lee Model
and Black Derman Toy Model and by estimating the parameters for the Vasicek
and the Cox Ingersoll Ross Models.
7
Šára, Michal. "Analýza generátorů ekonomických scénářů (zejména úrokových měr)." Master's thesis, Vysoká škola ekonomická v Praze, 2012. http://www.nusl.cz/ntk/nusl-199059.
Full textAbstract:
The thesis is concerned with a detailed examination of the most familiar short-rate models.Furthermore,it contains some author's own derivations of formulas for prices of interest rate derivatives and some relationships between certain discretizations of these short-rate models. These formulas are then used for calibration of ceratain chosen models to the actual market data.All the calculations are performed in R using author's own functions,which are along with the other more involved derivations placed in the appendix.
8
Zhang, Bing. "A new levy based short-rate model for the fixed income market and its estimation with particle filter." College Park, Md. : University of Maryland, 2006. http://hdl.handle.net/1903/3664.
Full textAbstract:
Thesis (Ph. D.) -- University of Maryland, College Park, 2006.Thesis research directed by: Mathematics. Title from t.p. of PDF. Includes bibliographical references. Published by UMI Dissertation Services, Ann Arbor, Mich. Also available in paper.
9
He, Yuanlong. "Relationship between Firm’s PE Ratio and Earnings Growth Rate." University of Cincinnati / OhioLINK, 2012. http://rave.ohiolink.edu/etdc/view?acc_num=ucin1336490725.
Full text
10
Thorne, Terrill D. "Does the Relative Price of Non-Traded Goods Contribute to the Short-Term Volatility in the U.S./Canada Real Exchange Rate? A Stochastic Coefficient Estimation Approach." Thesis, Virginia Tech, 2002. http://hdl.handle.net/10919/31159.
Full textAbstract:
This study uses a random coefficient estimation procedure to test the hypothesis that much of the volatility in the U.S./Canada real exchange rate over the time period 1971 through 1999 is due to the relative price of non-traded goods to traded goods. The model specification used in this study provides estimates of the sensitivity of movements in the U.S./Canada real exchange rate to movements in both the relative price of traded goods and the relative price of non-traded goods to traded goods in each of the two countries. I test for purchasing power parity in each of the two components of the model and address the question of volatility through the examination of the time profile of the respective coefficient estimates. The empirical results support the conclusion that the average value of the coefficient on the relative price of non-traded goods to traded goods component is smaller than that on the relative price of traded goods component. However, purchasing power parity in both components can not be rejected when the period of study is limited to 1971 through 1994. Furthermore, examination of the time profile of the random coefficients on the relative price of non-traded goods to traded goods component suggests that it is much more volatile and, therefore, quite significant in capturing the volatility in U.S./Canada real exchange rate movements.
With regard to purchasing power parity in both the traded goods component and the non-traded goods to traded goods component, these results are consistent with the implications of the theory of purchasing power parity. However, they are not entirely consistent with the evidence presented in recent literature. Specifically, evidence presented in recent studies can not support perfect purchasing power parity in either traded goods or non-traded goods and leads to the conclusion that non-traded goods are much less significant, if at all, in the determination of the U.S./Canada real exchange rate. This inconsistency with recent literature is most likely a result of the fact that the random coefficient modeling technique used in this study allows the coefficients to vary over time and, thereby, enables the volatility of both components to be captured in the model. Therefore, given the apparent significance of the relative price of non-traded goods to traded goods, the volatility of this component can logically be expected to significantly contribute to the volatility in the U.S./Canada real exchange rate.Master of Arts
11
Barri, Alessandro. "Network mechanisms of memory storage in the balanced cortex." Thesis, Paris 5, 2014. http://www.theses.fr/2014PA05T060/document.
Full textAbstract:
Pas de résumé en françaisIt is generally maintained that one of cortex’ functions is the storage of a large number of memories. In this picture, the physical substrate of memories is thought to be realised in pattern and strengths of synaptic connections among cortical neurons. Memory recall is associated with neuronal activity that is shaped by this connectivity. In this framework, active memories are represented by attractors in the space of neural activity. Electrical activity in cortical neurones in vivo exhibits prominent temporal irregularity. A standard way to account for this phenomenon is to postulate that recurrent synaptic excitation and inhibition as well as external inputs are balanced. In the common view, however, these balanced networks do not easily support the coexistence of multiple attractors. This is problematic in view of memory function. Recently, theoretical studies showed that balanced networks with synapses that exhibit short-term plasticity (STP) are able to maintain multiple stable states. In order to investigate whether experimentally obtained synaptic parameters are consistent with model predictions, we developed a new methodology that is capable to quantify both response variability and STP at the same synapse in an integrated and statistically-principled way. This approach yields higher parameter precision than standard procedures and allows for the use of more efficient stimulation protocols. However, the findings with respect to STP parameters do not allow to make conclusive statements about the validity of synaptic theories of balanced working memory. In the second part of this thesis an alternative theory of cortical memory storage is developed. The theory is based on the assumptions that memories are stored in attractor networks, and that memories are not represented by network states differing in their average activity levels, but by micro-states sharing the same global statistics. Different memories differ with respect to their spatial distributions of firing rates. From this the main result is derived: the balanced state is a necessary condition for extensive memory storage. Furthermore, we analytically calculate memory storage capacities of rate neurone networks. Remarkably, it can be shown that crucial properties of neuronal activity and physiology that are consistent with experimental observations are directly predicted by the theory if optimal memory storage capacity is required
12
Mengesha, Abi Taddesse. "Characterizing phosphate desorption kinetics from soil : an approach to predicting plant available phosphorus." Thesis, University of Pretoria, 2008. http://hdl.handle.net/2263/24346.
Full textAbstract:
Many agricultural fields that have received long-term applications of P often contain levels of P exceeding those required for optimal crop production. Knowledge of the effect of the P remaining in the soil (residual effect) is of great importance for fertilization management. In order to characterize P forms in soils, a wide variety of methods have been proposed. The use of dialysis membrane tubes filled with hydrous ferric oxide (DMT-HFO) has recently been reported as an effective way to characterize P desorption over a long-term in laboratoty studies. However, there is little information on the relationship between kinetics of P release using this new method and plant P uptake. This method consist of a procedure of shaking a sample for a long period of time there by exploiting the whole volume of the soil which is in contrast to the actual plant mode of uptake. This method has also practical limitations in employing it for a routine soil analysis, as it is very expensive and time consuming. The objectives of this study were (i) to study the changes in labile, non-labile and residual P using successive P desorption by DMT-HFO followed by a subsequent fractionation method (combined method) (ii) to assess how the information gained from P desorption kinetic data relates to plant growth at green house and field trials (iii) to investigate the effect of varying shaking time on DMT-HFO extractable P and (iv) to propose a short cut approach to the combined method. The release kinetics of the plots from long term fertilizer trials at the University of Pretoria and Ermelo were studied. P desorption kinetics were described relatively well by a two-component first-order model (R2 = 0.947, 0.918,&0.993 for NPK, MNK,&MNPK treatments respectively). The relative contributions of both the labile pool (SPA) and the less labile pool (SPB) to the total P extracted increased with increased P supply levels. Significant correlations were observed between the rate coefficients and maize grain yield for both soil types. The correlation between the cumulative P extracted and maize yield (r = 0.997**) however was highly significant for Ermelo soils. This method was also used to determine the changes in the different P pools and to relate these P fractions with maize yield. Highly significant correlations were observed between maize grain yield and the different P fractions including total P. In both soil types the contribution of both the labile and non-labile inorganic P fractions in replenishing the solution Pi was significant where as the contributions from the organic fractions were limited. The C/HCl-Pi is the fraction that decreased most in both cases as well. Investigation was carried out to evaluate the effect of varying shaking periods on the extractable DMT-HFO-Pi for UP soils of varying P levels. Four shaking options were applied. Significant difference was observed for the treatment of high P application. Shaking option 2 seemed relatively better than the others since it showed the strongest correlation. Thus for soils with high releasing kinetics and high total P content, provided that the P release from the soil is a rate limiting step, reducing the length of shaking time could shorten the duration one needs to complete the experiment with out influencing the predicting capacity of the methodology. The other objective of this thesis was also to present a short cut method alternative to the combined fractionation method. Comparison of the sum of DMT-HFO-Pi, NaHCO3-Pi, NaOH-Pi, D/HCl-Pi and C/HCl-Pi extracted by a conventional step-by-step method with the sum of DMT-HFO-Pi and a single C/HCl-Pi extraction as a short cut approach for all extraction periods resulted in strong and significant correlations. The C/HCl-Pi fraction extracted by both methods was correlated with maize grain yield and it was found to be highly significant. This study revealed that this short cut approach could be a simplified and economically viable option to study the P dynamics of soils especially for soils where the P pool acting as a source in replenishing the labile portion of P is already identified. The method employed here therefore could act as an analytical tool to approximate successive cropping experiments carried out under green house or field condition. However, data from a wider range of soils is needed to evaluate the universality of this method. More work is also required in relating desorption indices of this method with yield parameters especially at field level.Thesis (PhD)--University of Pretoria, 2009.
Plant Production and Soil Science
PhD
unrestricted
13
Wei-JiaHuang and 黃韋嘉. "Reexamination of Interest rate parity with Vasicek model in the aftermath of global financial crisis." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/5j2d98.
Full text
14
Wu, Chia-Chien, and 吳佳倩. "The Short-Rate Model Calibration Of Subprime Storm Period." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/89368928665015142879.
Full textAbstract:
碩士東海大學
經濟系
97
This article will analyze the yield curve term structure under subprime storm by short-rate model. And discuss the method of calibration and the strong or weak point of these models.
15
Hsieh, Tai-Huan, and 謝岱桓. "The Pricing Model of Taiwanese Gold Option with the Short-Rate Model." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/6qm4h3.
Full textAbstract:
碩士國立虎尾科技大學
財務金融系碩士班
104
According to the underlying asset of Taiwanese Gold Option (TGO), the TGO price will encounter currency risk. It means that the payoff function is similar as Quanto option. Generally speaking, the stochastic process of Quanto option’s underlying asset is assumed to follow a standard Brownian motion, and its’ interest rate is assumed to be constant. These assumptions are unsuitable. To improve the TGO pricing model, this paper has three purposes as follow: 1. To develop the first model, the stochastic process of logarithm gold price is assumed to follow Ornstein – Uhlenbeck model. Using the Quanto option model to evaluate this model. 2. The second model increases the other factor, stochastic interest rate, which is assumed to follow Ornstein – Uhlenbeck model. And replace the risk-free rate by Zero Coupon Bond. 3. The first one and second one was compared, and we simulate the price by VBA code. We found that the price of MTGO model was close with settlement price.
16
Hung, Kuo-Chou, and 洪國洲. "Analysis of Short-Term Rate in Taiwan- Multivariate GARCH Model." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/44042334768048098581.
Full textAbstract:
碩士銘傳大學
財務金融學系碩士在職專班
98
Short-Term Rate is a key role in the place of monetary policy. Moreover, new financial products developed rapidly, the short-term rate is also very important toward varies asset pricing models. This research is based on basic liquidity effect theory for empirical study in Taiwan via certain variables, as of micro-economics, banks excess reserve, income, product price, and rate, for two multivariate models, as of practicing diagonal-vech model, and BEKK model. The empirical result claims that diagonal-vech model is better than BEKK model in estimation. It is also implied that TAIBOR is more recommended than commercial paper rate.
17
HUANG, Chih-Hui, and 黃志輝. "The Application of Grey Model for Short-Term Unemployment Rate Forecast." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/35305084729711129825.
Full textAbstract:
碩士亞洲大學
資訊工程學系碩士班
97
In recent years, because along with world population gradual increase, various countries in the economic policy, expanded the employment market diligently, how studied to cut the unemployment rate, has been in the policy one of important topics, however under the current financial Tsunami, various countries' unemployment rate climbed, was our country deeply its influence, how also forecast that the unemployment rate thorough discussion in order to help the economic policy was important, therefore studied an unemployment rate model, has the important research subject extremely, particularly in the short time, under the few data condition, is the nowadays economic activities change environment, therefore we proposed that the grey modelling GM(1, N), for the unemployment rate forecast model. This research is with the Gray Throry short-term forecast characteristic, inspects and the forecast in this financial storm trend of Taiwan unemployment rate, is also uses in the Executive Yuan Laborer Committee website the statistical information, obtains the unemployment rate and the correlation according to, r in the first data using the Grey Relation Analysis discove with the unemployment rate related member, then with Grey System Theory GM(1, N) way constructs its forecast model, then forecast that the unemployment rate future tendency pulsation, and will observe its result to propose the conclusion and the suggestion.
18
Ho, I.-Chun, and 何怡諄. "Asymmetric Dynamic Diffusion research：An Empirical Investigation of Short-Term Interest Rate Model in Taiwan." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/67758235409938258361.
Full textAbstract:
碩士淡江大學
財務金融學系碩士班
93
This paper estimates a dynamics model of short-term interest rate and allows sensitivity of the volatility process to interest rate levels. The empirical results that GARCH effect, NARCH effect and stochastic volatility effect in the diffusion function fit the date well and superior to the single factor model of the level effect. If we use GARCH model to estimate the diffusion process will cause over-evaluate the fluctuation, so this paper especially make use of NARCH model to describe the true dynamic fluctuation reacts of short interest rate. The empirical research points out that modeling of the linear drift GARCH model and the nonlinear drift NARCH model in the short interest rate are the best. In addition, I develop some asymmetric framework in mean and diffusion function. When estimating the nonlinear drift NARCH model, the asymmetric response in the drift function is the best model.
19
LiuZhongYuan and 劉鍾元. "The prediction of short-run exchange rate on the basis of modified interest parity model." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/89300181101040516234.
Full textAbstract:
碩士輔仁大學
經濟學系碩士班
103
In this article, I use the Risk Premium to correct the interest rate parity model, and use it to predict the short-run exchange rate. The main aim of this article is offer another method which is reliable and simple for common investors to use. First, I make the Unit Root Test to the exchange rate and interest rate spreads between major industry countries. The result indicates that all the exchange rates are I(1) and all the interest rate spreads are I(0). It means the variation of exchange rates is I(0), all of my variables are stationary. Then I derived the structure model and make the estimation and prediction by rolling regression, compared with the random walk model without drift. Our results indicate that Risk Premium played the main role in prediction. The effect of news is not very obvious but still could improve the prediction of our structure model, especially in our subsamples. When I divide the sample into two subsamples by Subprime Crisis, I get a better result that the structure model could beat the random work model for all the exchange rates.
20
Dai, Sumei, and 戴淑美. "A Study of Genetic Programming on Prediction Model for Exchange Rate – Example of Short Term Exchange Rate between USD and NT." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/28822622199097980769.
Full textAbstract:
碩士輔仁大學
資訊管理學系
95
The foreign exchange market is a highly dynamic global market that runs 24 hours a day. It requires an excellent command of both fundamental and technical analyses on an investor’s part to stay ahead of rate trends and determine the best trading points. The complexity of exchange rate analysis and the necessary professional expertise pose a great difficulty for the average investors. This study takes important factors that influence exchange rates, including the money market, the stock market, the foreign exchange market, and technical indicators, and applies them to genetic programming. The intended approach is to establish a forecast model by taking advantage of the self-learning characteristics and smart computing capacity. The model will be then utilized to produce rate trends and make recommendations on optimal trading strategies for investors. Several conclusions can be drawn from results of this study. (1) When it comes to system optimization, roulette wheel selection is more stable than game. The best method of producing offspring generations is Rank89, followed by Rank85. As for reproduction mechanism, KeepBest-10 outperforms KeepBest-1. (2) Opening exchange rates, 5-day range, and technical indicators are indeed important reference tools in forecasting short-term exchange rates. (3) Foreign exchange forecasted by the four fitness values, MAE, MAPE, MSE, and MSPE, all fall within high precision range. Among the four values, MSE gives the highest degree of precision. (4) Measuring 5-day exchange rate data by return reveals positive returns across the board, which supports the theory of error rate precision. (5) When applied to practical trading strategies, all four strategies achieve positive returns and holding US dollars is a particularly attractive position. Investing by accrual position yields a better profit when returns are high.
21
wang, wei-tao, and 王偉濤. "stochastic volatility model--the study of the volatility of NT exchange rate in the short run." Thesis, 1998. http://ndltd.ncl.edu.tw/handle/37375877429034110010.
Full text
22
Chang, Chih-Ming, and 章志銘. "Using Threshold Error-Correction Model to Investigate Short and Long Run Relationship between Stock Price Respectively with Interest Rate and Exchange Rate in Taiwan." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/55649367040603000734.
Full textAbstract:
碩士淡江大學
財務金融學系碩士班
93
Employing the Threshold Error-Correction Model (TECM), this study investigates the asymmetric causal relationships between stock price respectively with exchange rate and interest rate in Taiwan using the daily closing data running from 1995 to 2004. The results from Granger-Causality tests based on corresponding Threshold Error-Correction Model clearly point out a bidirectional causality running from the exchange rate market to the stock market and a unidirectional causality from the stock market to the interest rate market in the short run. Furthermore, we find asymmetric price transmissions between the stock market respectively with the exchange rate and interest rate markets in the long run. These findings ought to be made readily available to individual investors and financial institutions holding long-term investment portfolios in these three asset markets for their likely implications today.
23
Yang, Tsung-Yueh, and 楊宗岳. "The Predictive Power of Short-term and Long-term Exchange Rate Models-Based on Linear and Artificial Intelligence Model." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/17370788515843921146.
Full textAbstract:
碩士國立成功大學
財務金融研究所
92
This thesis uses short-term prediction models such as ARIMA, Genetic Algorithm (GA) and Back-Propagation Neural Network (BPN) model and long-term prediction models such as Econometrics model, GA and BPN not only to predict exchange rates but also to find out which model has the best forecasting ability. The thesis uses MAPE to measure each model’s precision, and it also uses moving direction which is forecasted by models to measure each model’s validity. The thesis finds out the fact that, in the short-term period, the GA has the best precision ability, and there is not apparent validity difference among ARIMA, GA and BPN model. On the other hand, this thesis also finds out the fact that, in the long-term period, the GA also has the best precision ability. When an exchange rate shows random walk style (such as Swiss Franc/US dollar and Yen/US dollar), the GA has the best validity ability; when an exchange rate doesn’t show random walk style (such as NT dollar/US dollar and British Pound/US dollar), the BPN has the best validity ability. The reasons why the GA has the best precision ability are that BPN model uses the same parameters as ARIMA or Econometrics model, which causes to give restriction to the BPN and restrains its ability from forecasting exchange. The thesis also suggests future researcher to find out appropriate learning rule, hidden layers and transfer function when using the BPN to predict exchange rates. The further researcher can also use rolling regression by increasing out-of-the-sample period in order to acquire more samples, which can improve model’s precision and validity.
24
Lai, Ming-Yen, and 賴名諺. "The analysis of the short term and long term regression model for the factors influence the new Taiwan dollar FX rate." Thesis, 2003. http://ndltd.ncl.edu.tw/handle/13810985011084325886.
Full text
25
HSU, YAO-WEN, and 許耀文. "The Long-Term and Short-Term Impacts of Exchange Rate Variation on Taiwan Stock Market Index - An Application of Transfer Function Time Series Model." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/37s757.
Full textAbstract:
碩士國立臺北大學
企業管理學系
106
In general, a change in exchange rate would affect imports and exports. Does such an effect has a significant impact on the rise or fall of market stock price? This study attempts to explore the long- and short-term effects of the changes of Taiwan dollar exchange rates on the Taiwan stock market index, electronic stock index, and financial stock index. The ultimate goal is to construct a most appropriate forecasting model for the stock market. The sample was from Jan. 2006 to Dec. 2016, a total of 132 monthly data. The transfer function ARIMA model (TFARMA) was adopted to estimate and verify the model parameters and the mean absolute percentage error (MAPE) is computed to evaluate the model accuracy. The findings are as follows: 1. The Taiwan dollar exchange rate has a significant impact on the stock market index in the short- and long-term. The model MAPE is 3.98% per month. 2. The Taiwan dollar exchange rate has a significant effect on the short- and long-term effects of the Taiwan electronic stock index. The model MAPE is 4.52% per month. 3. The Taiwan dollar exchange rate has no significant impact on the Taiwan financial stock index in the short term; it has a significant effect in the long term. The model MAPE is 5.22% per month.
26
Viljoen, Gareth. "The impact of cross border mergers and acquisitions on the operating financial and short - term share price performance of acquiring companies listed on the Johannesburg Stock Exchange." Diss., 2013. http://hdl.handle.net/2263/40584.
Full textAbstract:
Mergers and acquisitions are a key component in the toolbox of business strategies that companies employ to improve organisational performance. Empirical studies that focus on domestic mergers and acquisitions activity in developed countries are numerous, however there remains a limited amount of research into the effects of cross border mergers and acquisitions on the performance of acquiring companies, especially in emerging markets. This research examined whether cross border mergers and acquisitions concluded by acquiring companies listed on the Johannesburg Stock Exchange have a positive or negative impact on the operating financial and short term share price performance of the listed acquirer.
A quantitative approach was adopted for the purpose of this research. In order to analyse the impact of cross border mergers and acquisitions transactions on the share price and operating financial performance of listed acquiring firms secondary data was utilised. The research incorporated publicly available daily share trading data for shares traded on the Johannesburg Stock Exchange and financial and accounting data sourced from McGregorBFA. In addition, the sample of cross border mergers and acquisitions transactions was obtained from the MergerMarket database. Purposive sampling was applied to select an initial sample of 44 transactions. Based on the exclusion of confounding events a final sample of 29 transactions was tested. Given the small sample size, and that confounding events were determined not to have a material impact on the cross border transactions, comparative analysis was performed using the initial sample of 44 transactions. Different lenses were applied for testing financial performance by using three performance measures. These included abnormal share price returns; key financial performance ratios and industry adjusted operating cash flow return on assets. Various short-term event windows were analysed for each of these measures.
Parametric tests including t-tests for unequal variance and paired t-tests were applied in the research. Given the small sample size non-parametric testing in the form of Wilcoxon Signed Rank Sum tests was also applied. In addition, bootstrapping was applied to the cumulative average abnormal returns. This research concluded that both the short-term share price and operating financial performance of acquiring companies listed on the Johannesburg Stock Exchange does not improve significantly in the short-term post the cross border merger or acquisition transaction.Dissertation (MBA)--University of Pretoria, 2013.
lmgibs2014
Gordon Institute of Business Science (GIBS)
MBA
Unrestricted
27
Černý, Jakub. "Stochastické modelování úrokových sazeb." Master's thesis, 2011. http://www.nusl.cz/ntk/nusl-300203.
Full textAbstract:
Title: Stochastic interest rates modeling Author: Jakub Černý Abstract: This present work studies different stochastic models of interest rates. Theoretical part of this work describes short-rate models, HJM fra- mework and LIBOR Market model. It focuses in detail on widely known short-rate models, i.e. Vašíček, Hull-White and Ho-Lee model, and on LI- BOR Market model. This part ends by valuation of interest rate options and model calibration to real data. Analytical part of the work analyses valuation of real non-standard interest rate derivative using different models. Part of this derivative valuation is comparison among models in terms of general valuation and also in terms of capturing the dynamics of interest rates. The aim of this work is to describe different stochastic models of interest rates and mainly to compare them with each other.