A study on the interactions, asymmetric volatility and spillover effects between Taiwan and Japanese spot and futures stock index markets:an application of VEC-TGARCH model
碩士 === 國立臺灣海洋大學 === 應用經濟研究所 === 93 === Abstract The purpose of this study is to build effective model to investigate interactions, asymmetric volatility and spillover effects between Taiwan and Japanese spot and futures stock index markets. The sample period begins from July21,1998 to December 31,20...
| Main Authors: | , |
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2005
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| Online Access: | http://ndltd.ncl.edu.tw/handle/96689803612751455164 |