Estimation of Equity Risk Premiums in Taiwan Security Market: Comparison in Using GARCH-M, Rolling Window and MIDAS Model
碩士 === 國立交通大學 === 管理科學系所 === 100 === This paper investigates risk premiums of Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) by using Ghysel’s mixed data sampling (MIDAS) model which is a new regression regarding volatility estimation. We study the intertemporal relation between c...
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| Format: | Others |
| Language: | en_US |
| Published: |
2012
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| Online Access: | http://ndltd.ncl.edu.tw/handle/81729314182321162412 |