The Applications of Investor Sentiment to the Dynamics of Crude Oil, Gold and U.S. Dollar Future
碩士 === 東海大學 === 財務金融學系 === 99 === In view of investor sentiment on market returns and volatility of the potential impact, this study first attempts to use Engle's Dynamic Conditional Correlation multivariate DCC-GJR-GARCH model to assess the impact of investor sentiment on Value at risk (VaR) p...
| Main Authors: | , |
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2011
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| Online Access: | http://ndltd.ncl.edu.tw/handle/33896943376780052450 |