A Study on the Interactions and Volatility Spillover Effects among Taiwan, Hong Kong, Shanghai and Shenzhen Stock Markets: An Application of VEC-TGARCH Model
碩士 === 國立臺北大學 === 統計學系 === 93 === The purpose of this study is to detect the effects of co-movement and volatility spillovers among Taiwan, Hong Kong, Shanghai and Shenzhen stock markets. This research applied VEC-TGARCH model to examine the interactive relationship of returns and transmission of vo...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2005
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| Online Access: | http://ndltd.ncl.edu.tw/handle/49108168818082337234 |