Analysis on the Correlation of International REITs Index Using Time Varying Copula: Evidence on Japan, USA, Australia and UK
碩士 === 國立嘉義大學 === 應用經濟學系研究所 === 103 === This thesis uses AR(L)-EGARCH(p,q)-t models combined with Time-varying nomal copula and mixed copula models to studies the dynamic nonlinear correlation and the tail dependence betwwen Japan’s REITs index and other three country’s REITs index. The empirical re...
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| Format: | Others |
| Language: | zh-TW |
| Online Access: | http://ndltd.ncl.edu.tw/handle/fc3pvq |