A Varying Correlation Bivariate GARCH Applied to Pharmacy Industry in Taiwan
碩士 === 嶺東科技大學 === 財務金融研究所 === 101 === This research investigates whether there exist crisis contagion and spillover effects in the stock market of Taiwan. Research period was from January 1, 2001 to November 09, 2012, This paper take the MGARCH-DCC model. In addition to the GARCH model to investigat...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2013
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| Online Access: | http://ndltd.ncl.edu.tw/handle/03161359527293591638 |