Modelling, Estimation and Application of Multivariate Component GARCH Model : A Study on Permanent and Transitory Effects, Return and Volatility Spillover Effects between Stock and Foreign Exchange Markets on Taiwan and Japan
碩士 === 國立臺北大學 === 統計學系 === 94 === This study employs the Multivariate Component GARCH model to examine the dynamic relationships, return and volatility spillovers between the Taiwan and Japan stock and foreign exchange markets, the effects of long- and short-term fluctuations in this two countries’...
| Main Authors: | , |
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2006
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| Online Access: | http://ndltd.ncl.edu.tw/handle/82722069780219318352 |