封面頁
證明書
致謝詞
Contents
List of Figures
List of Tables
1　Introduction
2　Leading and Coincident indexes in Taiwan
2.1　Introduction
2.2　Model Specification
2.2.1　 Markov-Switching Model with Fixed Transition Probability
2.2.2　 Time-Varying Markov-Switching Model
2.2.3　 Estimation and Algorithm
2.3　Data Description
2.4　Empirical Results
2.5　Conclusions
3　The Turning Points and Business Cycles in Taiwan
3.1　Introduction
3.2　Model Specification
3.2.1　 Univariate Markov-Switching Model
3.2.2　 Multivariate Dynamic Factor Model with Regime-Switching
3.3　Empirical Results
3.3.1　 Data Description
3.3.2　 Estimates of Univariate Markov-Switching Model
3.3.3　 Estimates of Multivariate Markov-Switching Factor Model
3.3.4　 Forecasting Performance
3.4　Conclusions
4　Stock Market Volatility in Taiwan
4.1　Introduction
4.2　Model Specification
4.3　Empirical Results
4.3.1　 Empirical Results of GARCH
4.3.2　 Empirical Results of SWARCH
4.3.3　 Comparsion between GARCH and SWARCH
4.3.4　 Testing of No Regime-Switching
4.4　Conclusions
Bibliography