Do return and volatility series share the same drive in closed-form GARCH option pricing model?
碩士 === 國立臺灣大學 === 財務金融學研究所 === 93 === This paper examines the dynamic relations between return and volatility series under the assumption of closed form GARCH model. A multiple hypotheses testing method is employed to identify causal relations between the two series and to test the empirical implica...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2005
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| Online Access: | http://ndltd.ncl.edu.tw/handle/64567837665654822521 |