A Study on the Interactions, Long Memory and Volatility Spillovers Effects for Stock, Futures,and Options Markets of Taiwan Weighted Stock Index: The Mediating Effect of Foreign Capital and Hedging Effect of S&P500 Futures and an Application of FIVAR-HYGA
碩士 === 國立臺北大學 === 國際企業研究所 === 97 === This study investigates the interactions, long memory, and volatility spillover effects for stock, futures and options markets of Taiwan weighted stock index by using FIVAR-HYGARCH model. It also discusses the mediating effects of foreign capital and hedging effe...
| 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/70686563631406257032 |