The Dynamic Relationship among the Returns of International Crude Oil Spots -Using BEKK Multivariate GARCH Model
碩士 === 淡江大學 === 財務金融學系碩士在職專班 === 95 === In this study, we apply the BEKK multivariate GARCH model, proposed by Engle and Kroner (1995), to analyze the relationships among the Brent crude oil return, the West Texas Intermediate crude oil return and the Dubai crude oil return. The sample period is div...
| 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/n4rjvc |