A Study on the Relationships and Volatility of Stock Price and Macroeconomic Variables for Taiwan and U.S.A. Stock Markets - An Application of Multivariate VEC GJR GARCH-M Model
碩士 === 國立臺北大學 === 合作經濟學系 === 92 === The purpose of this study is to detect the effects of causality, volatility spillovers, asymmetric and risk premium among stock price and macroeconomic variables for Taiwan and U.S.A. stock markets. This research has applied multivariate VEC GJR GARCH-M model to e...
| Main Authors: | , |
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2004
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| Online Access: | http://ndltd.ncl.edu.tw/handle/37632518808633127362 |