The Dynamic Linkage between U.S. and Taiwan Bond Markets
碩士 === 嶺東技術學院 === 財務金融研究所 === 92 === The thesis employs a bivariate GJR GARCH(1,1)-M model to investigate the return and volatility spillovers from U.S to Taiwan bond Markets, as well as to investigate the risk premium, volatility clustering, and volatility asymmetry effects. The empirical results...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2004
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| Online Access: | http://ndltd.ncl.edu.tw/handle/00254472647587405424 |