Mean and Volatility Spillover Effects in the G7 and BRICs Stock Markets
碩士 === 國立政治大學 === 國際經營與貿易研究所 === 98 === This paper investigates the mean return and volatility spillover effects from the U.S. to Canada, Italy, England, France, Germany, Japan and the BRICs by using ARMA(1,1)-GARCH(1,1)-M model of Chelley-Steeley and Steeley(1996), furthermore, we explore the condi...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2010
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| Online Access: | http://ndltd.ncl.edu.tw/handle/37941217005840434410 |