Nonlinear Dynamics and Information Content between the Volatility Index of Taiwan Stock Market and Underlying Equity Index: Application of Smooth transition Vector error Correction Model.
碩士 === 銘傳大學 === 財務金融學系碩士班 === 94 === We calculate the volatility index of Taiwan stock index options market (TVIX) following the essence of CBOE volatility index by using the intraday 15 minutes data in the Taiwan index options market . Based on STAR (Terasvirta and Anderson, 1992), we analyze th...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2006
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/9r7xw3 |