The Non-linear Adjustment of Taiwan Stock Index Returns and Macroeconomic Variables: Using Smooth Transition Autoregressive STAR-ANSTGARCH Model
碩士 === 國立臺北大學 === 企業管理學系 === 100 === This paper attempts to investigate how the TAIEX stock returns were adjusted through time path with and without macroeconomic variables using monthly sample data from June 1996 to June 2011. By employing smooth transition autoregressive model(STAR) and ANSTGARCH...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2012
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| Online Access: | http://ndltd.ncl.edu.tw/handle/54661775463446713392 |