Factor Analysis of Multivariate Time Series Data On Stocks And Funds Market
碩士 === 輔仁大學 === 應用統計學研究所 === 97 === This thesis presents the process of research into the use of factor models for multivariate time series data on stocks and funds Market. Time series data of financial exist distinctive behavior including autoregresstion and cointegration, to apply Error Corrected...
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| Format: | Others |
| Language: | zh-TW |
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2009
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| Online Access: | http://ndltd.ncl.edu.tw/handle/70575647660000129081 |
| Summary: | 碩士 === 輔仁大學 === 應用統計學研究所 === 97 === This thesis presents the process of research into the use of factor models for multivariate time series data on stocks and funds Market. Time series data of financial exist distinctive behavior including autoregresstion and cointegration, to apply Error Corrected Model (ECM) to extract the correlation to gain more simple information. Using the process is quite applicable to agree the hypothesis of factor analysis about the residual series. And through the residual to analyze the correlation of short run movement for multivariate time series. This thesis present an expectation-maximization (EM) algorithm to estimate parameters .It is computationally very efficient in space and time. The real data of this research shows that almost one relationship between the stocks market and funds market is concurrent effect. To express more completely the multivariate time series data about correlation structures is main contribution by this thesis and provides a complete procedure for this kind of data analysis.
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