A Study on the Effect of Exchange Rate Volatility on the Return Rate of a Mutual Fund
碩士 === 國立中興大學 === 應用經濟學系所 === 102 === In this thesis, we apply the DCC MV-GARCH (Dynamic Conditional Correlation Multivariate GARCH) model, proposed by Engle(2001), to discuss the effect of dynamic condition correlation between the Fubon MSCI Taiwan fund’s return rate and exchange rate between new T...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2014
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| Online Access: | http://ndltd.ncl.edu.tw/handle/00569392002380450577 |