Empirical Study of Range-based Stochastic Volatility Models
碩士 === 銘傳大學 === 財務金融學系碩士班 === 92 === This article examines the characteristics of the Range-based Stochastic Volatility Model (RSV model), and adopts daily data of Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) and Taiwan Stock Index Futures (TX) to explore the empirical performan...
| 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/eprprd |