The Prediction for Index Futures Returns and the Spillover Effect among American and Eurasian Markets
博士 === 國立臺灣科技大學 === 管理研究所 === 95 === This paper adopts GM(1,1) and GARCH/TGARCH time series model to predict the return and volatility of nine major index futures among American and Eurasian markets. In a further step, by means of grey relational theory, GARCH and GM(1,N) model, it can be found the...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2007
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| Online Access: | http://ndltd.ncl.edu.tw/handle/5kbm6r |