The Research of Time-varying Systematic Risk: Evidence from Taiwan Electronic Stock Portfolios
碩士 === 國立雲林科技大學 === 財務金融系碩士班 === 93 === This paper aims to model the time-varying systematic risk of Taiwan electronic stock portfolios by using the bivariate DCC-GARCH(1,1) model introduced by Engle(2001). This model allows the variance, covariance and the correlation coefficients to be dynamic so...
| 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/75845134434176706947 |