Dynamic Effect of Currency Depreciation on Stock Market Return：A DTGARCH Approach
碩士 === 嶺東科技大學 === 財務金融研究所 === 94 === The current international integration of financial markets provides a channel for currency depreciation to affect stock prices. This paper applies a four regimes double threshold GARCH (DTGARCH) model of stock market returns to investigate empirically the effects...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2006
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| Online Access: | http://ndltd.ncl.edu.tw/handle/26889768617747604592 |