Explaining the Great Decoupling of the Equity-Bond Linkage with a Modified Dynamic Conditional Correlation Model
碩士 === 國立交通大學 === 經營管理研究所 === 96 === We develop a new, modified Dynamic Conditional Correlation (DCC) model, called DCCX,which allows exogenous variables in the evolution of the conditional correlations in the standard DCC model of Engle (2002). Structural modeling of the dynamic conditionalcorrelat...
| Main Authors: | , |
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| Format: | Others |
| Language: | en_US |
| Published: |
2008
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| Online Access: | http://ndltd.ncl.edu.tw/handle/82282015167493734999 |