The Price Dynamic Interactions of Stock Index Derivatives and Stock Index
碩士 === 真理大學 === 管理科學研究所 === 91 === This paper is to investigate the information transmissions of price changes and price changes volatility between the stock index and stock index futures markets by a multiple asymmetric threshold GJR GARCH model with error correct items (MATEC GJR GARCH), and betwe...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2003
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| Online Access: | http://ndltd.ncl.edu.tw/handle/33832320976319824492 |