The Study on Intraday Price Discovery and Returns Volatility Spillovers between Taiwan Stock Index Market and Taiwan Stock Index Futures Market: The Comparison Study of the Difference in Bivariate GARCH Model between VECH, CCC and BEKK
碩士 === 國立臺北商業技術學院 === 財務金融研究所 === 97 === The purpose of this study is to investigate the intraday price discovery and returns volatility spillovers between the spot and futures on Taiwan stock index market. The samples of this study include both 1-minute and 5-minute intervals intraday returns o...
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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/69305565152286046828 |