An Empirical Study of Multivariate Common Factor Model with Long-Range Dependence in Taiwan Stock Returns
碩士 === 東海大學 === 統計學系 === 87 === In this paper, we investigate the long-term relationship between Taiwan stock returns volatilities among different industry. The canonical correlation analysis method proposed by Ray and Tsay (1998) was used to determine the number of the common long-range...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
1999
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| Online Access: | http://ndltd.ncl.edu.tw/handle/18551946495306241003 |