The Transmission Relationship For The Return Of TAIEX To The Return Of TAIEX Call Among Different Moneyness
碩士 === 國立臺北大學 === 企業管理學系 === 100 === This study examines whether the return of TAIEX to the return of TAIEX call option existed an asymmetric transmission relationship among different moneyness. Employing non-linear threshold autoregression model (TAR) and momentum TAR model (M-TAR), collected a dat...
| 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/21985794861632801376 |