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...

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Bibliographic Details
Main Authors: Cheng An-Ting, 鄭安婷
Other Authors: Ray Yeutien Chou
Format: Others
Language:en_US
Published: 2008
Online Access:http://ndltd.ncl.edu.tw/handle/81086820781175120106

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