Dynamic Correlation and Predictive Ability of VIX
碩士 === 國立交通大學 === 管理科學系所 === 96 === This study provides dynamic time-varying viewpoint by using the Dynamic Conditional Correlation (DCC) model of Engle (2002) to estimate the time-varying correlation between volatility index and stock index and we also investigate the relationship during four disti...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2008
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| Online Access: | http://ndltd.ncl.edu.tw/handle/81086820781175120106 |