The Relationship Between Oil Price and Stock Return-Smooth Transition Regressive Model
碩士 === 國立高雄應用科技大學 === 金融資訊研究所 === 97 === This paper employs smooth transition regression model, derived in Teräsvirta (1998), to investigate the non-linear relationship between oil prices and stock returns. Using rates of change in oil prices as threshold variable, this research shows whether the i...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2009
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| Online Access: | http://ndltd.ncl.edu.tw/handle/55124098884800934931 |