The applications of the threshold vector error correction model in financial markets
博士 === 國立交通大學 === 管理科學系所 === 94 === This dissertation employed the threshold vector error correction model (VECM) to investigate (1) the dynamic relationship between the prices of American Depository Receipts (ADRs) and their underlying stocks and (2) the effect of transaction cost reduction on the...
| 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/65502241085999660007 |