Studying on stock indexes return’s dependence：Application of dynamic copula method
碩士 === 國立中山大學 === 財務管理學系研究所 === 100 === In this paper, we study on the stock indexes return’s dependence structure of the U.S. versus other G5 members during the 2008 subprime mortgage financial crisis. The sample series are weekly returns of the MSCI stock price indexes from 2003 to 2011. The model...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2012
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| Online Access: | http://ndltd.ncl.edu.tw/handle/21320018510053312379 |