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Mizobata H - One of the best experts on this subject based on the ideXlab platform.

  • Data for: Intensive and Extensive Margins of Capital and Labor
    Data Archiving and Networked Services (DANS), 2026
    Co-Authors: Mizobata H
    Abstract:

    Japandata.csv file is raw data which contains several model variables: GDP (y), gross investment rate (ik), stock prices (s), corporate income tax rate (tau), gross hiring rate (hn), capital utilization rate (uk), and working hours (un). Japandata.m file transforms them by Taking Natural Logarithm and detrending them using a one-sided HP filter. Since we use the Matlab program, one_sided_hp_filter.m developed by Alexander Meyer-Gohde, you must download this before running the program. The outcome is stored in Japandata.mat file. Baseline and Appendix mod files reproduce the results in the article. You must install Dynare (https://www.dynare.org/) for your PC before conducting these programs. Our results in the article are obtained by Dynare version 4.5.6

Yen Hui-chen - One of the best experts on this subject based on the ideXlab platform.

  • The Research about Implied Volatility Function for Taiwan Stock Index Option
    國立高雄第一科技大學-金融研究所, 2011
    Co-Authors: Yen Hui-chen
    Abstract:

    [[abstract]]本文利用2002年至2009年，台灣期貨交易所的台指選擇權與台指期貨資料，計算出台指選擇權的隱含波動率，並利用選擇權的價性指標與距到期期間來做隱含波動率函數的配適。價性指標包括傳統價性指標，也就是將執行價格除以標的資產價格，以及將傳統價性指標取自然對數兩種；而標的資產則分為指數現貨與指數期貨兩種。我們的研究結果發現：1 台指選擇權確實存在微笑波動現象。2 價性指標以取自然對數的模式較佳，對隱含波動率的解釋能力較高。3 距到期期間與隱含波動率大致呈現線性關係。4 價內與價外的隱含波動現象並不對稱。無論買權或賣權，價內選擇權隱含波動率對價性指標較為敏感，也就是斜率較陡，但是曲率的大小則不具一致性。[[abstract]]We determined the implied volatilities of Taiwan stock index options (TXO) by collecting the price data of TXO and Taiwan stock index futures (TX) from 2002 to 2009 and fitted the implied volatilities as a function of moneyness index and time to expiration We used two kinds of functions the traditional one which divided exercise price by underlying price and the Natural Logarithm of the traditional function to determine moneyness index We also used two kinds of underlyings the spot index and the index futures We found considering volatilities of TXO：1 Volatility smile does exist 2 Taking Natural Logarithm of the traditional moneyness index can improve the goodness of fit of volatility function 3 Implied volatility is almost a linear function of options’ duration 4 Volatility smile is asymmetric to moneyness In-the-money implied volatility is more sensitive to moneyness index than out-of-the-money implied volatility regardless call or put The slope of in-the-money implied volatility to moneyness index is steeper than the one of out-of-the-money The curvatures do not have a consistent resul

Lee Shing-cheng - One of the best experts on this subject based on the ideXlab platform.

  • Applications of Response Surface Methodology in Optimum Designs
    機械工程學系, 2014
    Co-Authors: Lee Shing-cheng
    Abstract:

    本文應用回應表面的方法來取代有限元素分析或實驗，以快速取得一近似的結構分析或是實驗值，利用此一近似的目標函數和限制函數的值求取最佳化問題的最佳解。回應表面是利用統計和數學的方法在一設計空間中利用選定的設計點建立起設計變數和回應值的顯函數關係，因此可利用此種顯函數快速進行系統回應值計算和靈敏度分析求得最佳解。 應用回應表面的方法最重要的是能利用最少的設計點模擬出準確度尚佳的近似函數，為了提升回應表面的準確性本文提出兩種縮減設計空間的方法增加回應表面式的準確性，第一種方法是將原始設計空間縮小一半，分二階段搜尋最佳解。第二種方法是將設計變數空間縮小一半，然後分階段搜尋最佳解。本文並且利用面中心立方體的佈點方式使用最少的設計點以提高計算效率。除了縮減設計空間外如果將輸入值和回應值做數據轉換也能取得較正確的回應表面式，因此本文將輸入值取自然對數和使用Box-Cox所提出的回應次方轉換法對回應值做轉換。最後使用逐步迴歸的方法來建構最適當的回應表面式。運用上述方法建構出回應表面式後，再以商用軟體DOT/DOC來求得各範例的最佳解。 本文將前述方法應用於切削最佳化和結構最佳化實例中，建立回應表面預測模式求得最佳值，並且與數學式或文獻所求得的最佳化結果比較。In order to quickly obtain approximation results of structural analyses or experimental data, this research employs response surface method to replace finite element analyses and experiments. The optimum solutions of the design or experimental problems are sought using response surfaces for the objective and constraint functions. The response surface method is a statistical approach to create an approximate explicit function of design variables in a given design space. Therefore it is easy to compute the function values and sensitivities using response surfaces and the optimum solution can be obtained quickly. The most important concern using response surface is to generate a response function with maximum accuracy while using minimum number of design points. To increase the accuracy of response surfaces, this thesis proposes two approaches to achieve the goal. One is to reduce the original design space to its half initially and then construct response surfaces in this reduced region to find optimum solution. After locating the optimum solution, a new design region centered on the found optimum solution is created and the final solution is searched in this new region. The other approach is similar to the previous one except the reduction of design space is made on each design variable by a given reduction ratio. The design or experimental points used to construct response surfaces are determined by central composite design. In addition to reduce the design space , the transformation of input and output data will also greatly improve the accuracy of the approximations. The input and output data are transformed by Taking Natural Logarithm and power transformation, respectively. The step wise regression technique is finally used to select the most appropriate design variables in the model. DOT/DOC software is used to solve optimum design problems in this thesis. Several examples including metal cutting experiments and structural designs are illustrated. The optimum solutions obtained by response surface are compared with known solutions.中文摘要 英文摘要 目錄 圖目錄 表目錄 符號說明 第一章 緒論 1-1 前言 1-2 文獻回顧 1-3 研究目的與內容 第二章 研究方法與理論推導 2-1 最佳化設計 2-2 回應表面 2-2-1 線性迴歸模式 2-2-2 二次迴歸模式 2-2-3 迴歸方程的假說檢驗 2-3 "最佳"迴歸模型之建立 2-4 設計空間佈點方式 2-5 數據轉換 2-6 設計空間之訂定 第三章 實例分析與討論 3-1 範例一:車削最佳化 3-2 範例二:臥式銑削最佳化 3-3 範例三:三桿件桁架結構最佳化 3-4 範例四:工字樑結構最佳化 3-5 範例五:薄板懸臂樑結構最佳化 3-6 範例六:二十五桿件桁架結構最佳化 3-7 範例七:矩形斷面階梯懸臂樑結構最佳化 3-8 範例八:十桿件桁架結構最佳化 3-9 範例九:減速器最佳化 3-10 範例十:薄板動態回應最佳化 第四章 結論與展望 4-1 結論 4-2 未來研究建議 參考文獻 附