The Reserch of Time-varying Systematic Risk
碩士 === 國立雲林科技大學 === 財務金融系碩士班 === 94 === This article proposes a Dynamic Conditional Correlation GARCH model for the estimation of time-varying betas, and model time-vary systematic risk in Taiwan Stock Exchange, Korea composite index , and NIKKEI 225 index using bivarite version of the asymmetric Dy...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2006
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| Online Access: | http://ndltd.ncl.edu.tw/handle/30199592273013195085 |