國立中山大學學位論文典藏.PDF

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16 VAR VAR Johansen VECM 6

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23 E( y ) = E( y ) = u t t+ n y E( y u ) = E[( y u ) ] = σ t y t+ n y y COV ( yt, yt+ k) = γ k 13

24 k t t 1 i t 1 t i= 1 X = ρ X + β X + ε k i= 1 Xt = α + ρxt 1 + βi Xt 1 + εt k Xt = α + δt + ρxt 1 + βi Xt 1 + εt i= 1 14

25 2 2k AIC = AIC = ln( σ ) + T 2 2k SBIC = ln( σ ) + lnt T 2 σ H : ρ = 0 0 τ ρ 15

26 Y X p = α + α Y + β X + ε t 10 1i t i 1j t j 1t i= 1 j= 1 p q = α + α Y + β X + ε t 20 2i t i 2 j t j 2t i= 1 j= 1 q ε1t ε 2t H H : β = β = = β = q ' 0 β21 β22 β2q : = = = = 0 H0 ' H0 ' H0 H0 16

27 X = A + AX + e t 0 n i= 0 i t i t X t A 0 A X Xt i t-i 2 e t et σ x et e t-i e 1t e 2t 17

28 X AX AX AY = A + e t 1 t 1 2 t 2 p t p 0 t 2 p AL 1 AL 2 ApL Xt = A0+ et (1 ) 2 p 1 Xt = (1 AL 1 AL 2 AL p ) ( A0+ et) X µ Ce i= 0 = + t i t i 18

29 X µ ' t = + CVV i et i i= 0 ε t-i C i = CV i ε ' t-i = Ve t i X = µ + C ε t i t i i= 0 C i 19

30 Y t X t Y = β + β X + u t 0 1 t u I(0) t Xt = β + 1 Xt 1+ k Xt k + ε X t q 1 X t-i i = 1,, k ε 2 t iid... N(0, σ ) β i, i = 1,, k t X i Xt = β +Γ Xt 1+ +Γ k 1Xt k+ 1+ Xt k+ ε k 1 β + Γ X + X + ε i 1 i t i t k Γ i = ( I 1 i), i= 1,, k 1 X t 20

31 = ( I 1 k ) X t X t X t X t X t X t X t H0 n λ ( q) = T ln(1 λ ) trace i= r+ 1 i 21

32 τ 22

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34 M M M10 DOW M M M10 SPREAD M M M10 OIL M M M10 CHEVRON M M M10 EXXON M M M10 CONOCO 24

35 M M M10 MARATHON M M M10 MURPHY 25

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45 Response of DEXXON to Cholesky One S.D. Innovations Response of DDOW to Cholesky One S.D. Innovations DEXXON DDOW SPREAD DOIL DEXXON DDOW SPREAD DOIL Response of SPREAD to Cholesky One S.D. Innovations Response of DOIL to Cholesky One S.D. Innovations DEXXON DDOW SPREAD DOIL DEXXON DDOW SPREAD DOIL 35

46 .014 Response of DCHEVRON to Cholesky One S.D. Innovations.012 Response of DDOW to Cholesky One S.D. Innovations DCHEVRON DDOW SPREAD DOIL DCHEVRON DDOW SPREAD DOIL.006 Response of SPREAD to Cholesky One S.D. Innovations.025 Response of DOIL to Cholesky One S.D. Innovations DCHEVRON DDOW SPREAD DOIL DCHEVRON DDOW SPREAD DOIL 36

47 Response of DCONOCO to Cholesky One S.D. Innovations Response of DDOW to Cholesky One S.D. Innovations DCONOCO DDOW SPREAD DOIL DCONOCO DDOW SPREAD DOIL Response of SPREAD to Cholesky One S.D. Innovations Response of DOIL to Cholesky One S.D. Innovations DCONOCO DDOW SPREAD DOIL DCONOCO DDOW SPREAD DOIL 37

48 Response of DMARATHON to Cholesky One S.D. Innovations Response of DDOW to Cholesky One S.D. Innovations DMARATHON DDOW SPREAD DOIL DMARATHON DDOW SPREAD DOIL Response of SPREAD to Cholesky One S.D. Innovations Response of DOIL to Cholesky One S.D. Innovations DMARATHON DDOW SPREAD DOIL DMARATHON DDOW SPREAD DOIL 38

49 Response of DMURPHY to Cholesky One S.D. Innovations Response of DDOW to Cholesky One S.D. Innovations DMURPHY DDOW SPREAD DOIL DMURPHY DDOW SPREAD DOIL Response of SPREAD to Cholesky One S.D. Innovations Response of DOIL to Cholesky One S.D. Innovations DMURPHY DDOW SPREAD DOIL DMURPHY DDOW SPREAD DOIL 39

50 .016 Response of DEXXON to Cholesky One S.D. Innovations.010 Response of DCHEVRON to Cholesky One S.D. Innovations DEXXON DCHEVRON DCONOCO DMARATHON DMURPHY Response of DCONOCO to Cholesky One S.D. Innovations DEXXON DCHEVRON DCONOCO DMARATHON DMURPHY Response of DMARATHON to Cholesky One S.D. Innovations DEXXON DCHEVRON DCONOCO DMARATHON DMURPHY Response of DMURPHY to Cholesky One S.D. Innovations DEXXON DCHEVRON DCONOCO DMARATHON DMURPHY DEXXON DCHEVRON DCONOCO DMARATHON DMURPHY 40

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61 Recursive C(1) Estimates ± 2 S.E. Recursive C(2) Estimates ± 2 S.E Recursive C(3) Estimates ± 2 S.E. Recursive C(4) Estimates ± 2 S.E Recursive C(5) Estimates ± 2 S.E. 51

62 Recursive C(1) Estimates ± 2 S.E. Recursive C(2) Estimates ± 2 S.E Recursive C(3) Estimates ± 2 S.E. Recursive C(4) Estimates ± 2 S.E Recursive C(5) Estimates ± 2 S.E. 52

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