The Study on The Nonlinear Relationships Between the China Index Futures and Stocks Return
碩士 === 正修科技大學 === 金融管理研究所 === 103 === This paper uses the idea of multivariate threshold auto-regression model (Tsay, 1998) to propose a nonlinear model to investigate the relationships of the China CN-SH300 index futures and stock return, the study period is from Oct. 30, 2006 to Nov. 04, 2014. The...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2015
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| Online Access: | http://ndltd.ncl.edu.tw/handle/15547516324040593084 |