International Capital Asset Pricing Model :Multivariate FIGARCH-in-Mean approach
碩士 === 國立臺灣大學 === 經濟學研究所 === 88 === This paper make use of Multivareate FIGARCH-in-Mean Model to be empirical model of International CAPM with constant and time-varying price of risk . FIGARCH model was chacterizied for long-run dependent of volaility by a new paramter d ,which bounded between 0 and...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2000
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/73502947232440339323 |