An Empirical Study on Stepwise Regression,Reality Check and Superior Predictive Ability-Evidence from TAIEX

碩士 === 國立中興大學 === 應用數學系所 === 95 === The return is very complicated and hard to predict in the financial market. This article uses common technical analysis-momentum, trend line, relative strength index, moving average and some sentiment indicators -volatility index, put call ratio of open interest,...

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Main Authors:	Yu-Chia Lee, 李友嘉
Other Authors:	許英麟
Format:	Others
Language:	zh-TW
Published:	2007
Online Access:	http://ndltd.ncl.edu.tw/handle/40887508297817139846

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spelling	ndltd-TW-095NCHU55070062016-05-23T04:18:27Z http://ndltd.ncl.edu.tw/handle/40887508297817139846 An Empirical Study on Stepwise Regression,Reality Check and Superior Predictive Ability-Evidence from TAIEX 逐步迴歸,真實性檢驗與預測力優劣檢定法之探討-以台灣加權指數為例 Yu-Chia Lee 李友嘉碩士國立中興大學應用數學系所 95 The return is very complicated and hard to predict in the financial market. This article uses common technical analysis-momentum, trend line, relative strength index, moving average and some sentiment indicators -volatility index, put call ratio of open interest, put call ratio of volume to be variables of regression model. Moreover, we apply reality check (White, 2000), test for superior predictive ability (Hansen, 2005) and stepwise regression to select useful variables. We hope to find useful variables and provide more correct infromation in the financial markets. Sentiment indicators are useful in this article. 許英麟 2007 學位論文 ; thesis 38 zh-TW
collection	NDLTD
language	zh-TW
format	Others
sources	NDLTD
description	碩士 === 國立中興大學 === 應用數學系所 === 95 === The return is very complicated and hard to predict in the financial market. This article uses common technical analysis-momentum, trend line, relative strength index, moving average and some sentiment indicators -volatility index, put call ratio of open interest, put call ratio of volume to be variables of regression model. Moreover, we apply reality check (White, 2000), test for superior predictive ability (Hansen, 2005) and stepwise regression to select useful variables. We hope to find useful variables and provide more correct infromation in the financial markets. Sentiment indicators are useful in this article.
author2	許英麟
author_facet	許英麟 Yu-Chia Lee 李友嘉
author	Yu-Chia Lee 李友嘉
spellingShingle	Yu-Chia Lee 李友嘉 An Empirical Study on Stepwise Regression,Reality Check and Superior Predictive Ability-Evidence from TAIEX
author_sort	Yu-Chia Lee
title	An Empirical Study on Stepwise Regression,Reality Check and Superior Predictive Ability-Evidence from TAIEX
title_short	An Empirical Study on Stepwise Regression,Reality Check and Superior Predictive Ability-Evidence from TAIEX
title_full	An Empirical Study on Stepwise Regression,Reality Check and Superior Predictive Ability-Evidence from TAIEX
title_fullStr	An Empirical Study on Stepwise Regression,Reality Check and Superior Predictive Ability-Evidence from TAIEX
title_full_unstemmed	An Empirical Study on Stepwise Regression,Reality Check and Superior Predictive Ability-Evidence from TAIEX
title_sort	empirical study on stepwise regression,reality check and superior predictive ability-evidence from taiex
publishDate	2007
url	http://ndltd.ncl.edu.tw/handle/40887508297817139846
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An Empirical Study on Stepwise Regression,Reality Check and Superior Predictive Ability-Evidence from TAIEX

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