Essays on the Econometric Analysis of Financial Market Volatility and Mutual Fund Performance
博士 === 國立交通大學 === 財務金融研究所 === 96 === This dissertation consists of two separate issues. The first issue is to discuss the forecasting performance of HAR and MIDAS regression models of realized range-based volatility; we focus on the S&P 500 index. The empirical results show that the realized ran...
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| Format: | Others |
| Language: | en_US |
| Online Access: | http://ndltd.ncl.edu.tw/handle/44114787839247973601 |