Bằng việc nhận thức được những hạn chế của mình, tác giả luận văn này đề nghị các nghiên cứu tiếp theo trong thời gian tới có thể khai thác thêm chủ đề này bằng cách mở rộng, điều chỉnh một số nội dung bên dưới:
Thứ nhất, mở rộng chiều dài của chuỗi thời gian để có thể bắt được các xu hướng dài hạn hơn trong các chuỗi dữ liệu.
Thứ hai, trong điều kiện cho phép, tính chính xác của kết quả nghiên cứu sẽ được cải thiện nếu có thể tăng tần số quan sát từ tháng (monthly basic) lên tuần (weekly basic) hoặc ngày (daily basic).
Thứ ba, thay vì dùng mô hình 𝑉𝐴𝑅 để lọc dữ liệu, có thể dùng các công cụ khác ví dụ như 𝐴𝑅𝑀𝐴. Đồng thời, có thể so sánh độ chính xác của kết quả nghiên cứu bằng cách dùng nhiều mô hình khác trong họ mô hình 𝐴𝑅𝐶𝐻.
Thứ tư, việc xác định các điểm chuyển đổi dao động có thể được thực hiện bằng nhiều công cụ khác nhau. Trong điều kiện cho phép, có thể dùng một công cụ khác để phát hiện các điểm chuyển đổi dao động như các phương pháp phân vùng lân cận, phương pháp phân vùng lân cận, phương pháp penalized contrast function của Lavielle (2005).
TÀI LIỆU THAM KHẢO
Tài liệu tham khảo tiếng Việt
Huỳnh Thế Nguyễn và Nguyễn Quyết, 2013. Mối quan hệ giữa tỷ giá hối đoái, lãi suất và giá cổ phiếu tại TP. Hồ Chí Minh. Tạp chí Phát triển và Hội nhập UEF, số 11(21) – tháng 07-08/2013, trang 37-40.
Tài liệu tham khảo tiếng Anh
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PHỤ LỤC
Phụ lục 1. Bảng dữ liệu nghiên cứu.
Tháng/Năm Lãi suất
(IR) Chỉ số VN-Index (VNI) Tỷ giá USD/VND (USDVND) 04/2004 0.09540 364.5 15684 05/2004 0.09540 364.5 15684 06/2004 0.09540 364.5 15684 07/2004 0.09540 364.5 15684 08/2004 0.09630 364.5 15684 09/2004 0.09870 364.5 15717 10/2004 0.10010 232.6 15714 11/2004 0.10000 229.6 15741 12/2004 0.10250 239.3 15739 01/2005 0.10250 233.3 15751 02/2005 0.11100 235.1 15765 03/2005 0.11100 246.5 15785 04/2005 0.10800 246.2 15794 05/2005 0.10800 244.2 15812 06/2005 0.11030 246.8 15816 07/2005 0.11030 245.5 15843 08/2005 0.11030 254.5 15837 09/2005 0.11180 289.3 15854 10/2005 0.11180 307.4 15861 11/2005 0.11400 311.3 15869 12/2005 0.11400 307.5 15875 01/2006 0.11175 312.3 15891 02/2006 0.11175 390.6 15871 03/2006 0.11175 503.6 15910 04/2006 0.11175 595.5 15951 05/2006 0.11175 538.9 15920 06/2006 0.11175 515.6 15957 07/2006 0.11175 422.4 15986 08/2006 0.11175 491.2 15975 09/2006 0.11175 526.7 16016 10/2006 0.11180 511.5 16044 11/2006 0.11180 633.0 16061 12/2006 0.11180 751.8 16101 01/2007 0.11180 1041.3 16115 02/2007 0.11180 1137.7 16069
03/2007 0.11180 1071.3 16100 04/2007 0.11180 923.9 16127 05/2007 0.11180 1081.5 16114 06/2007 0.11180 1024.7 16132 07/2007 0.11180 908.0 16141 08/2007 0.11180 908.4 16160 09/2007 0.11180 1046.9 16163 10/2007 0.11180 1065.1 16161 11/2007 0.11180 972.4 16125 12/2007 0.11180 927.0 16114 01/2008 0.11180 844.1 16091 02/2008 0.11180 663.3 16052 03/2008 0.14595 516.9 15960 04/2008 0.14265 522.4 15967 05/2008 0.16529 414.1 16086 06/2008 0.19114 399.4 16514 07/2008 0.20250 451.4 16495 08/2008 0.20190 539.1 16495 09/2008 0.19860 456.7 16517 10/2008 0.18000 347.1 16511 11/2008 0.13260 314.7 16481 12/2008 0.10980 315.6 16977 01/2009 0.10080 303.2 16978 02/2009 0.09390 245.7 16972 03/2009 0.09150 280.7 16954 04/2009 0.09150 321.6 16937 05/2009 0.09600 411.6 16938 06/2009 0.09960 448.3 16953 07/2009 0.09960 466.8 16967 08/2009 0.10260 546.8 16974 09/2009 0.10350 580.9 16991