A Study of the Effect of the Future Price Volatility on the Leveraged and Inverse ETFs Daily Return - Approach by Panel Smooth Transition Regression Model
碩士 === 淡江大學 === 財務金融學系碩士班 === 104 === This study adopts the empirical model of Gonza''lez, Teräsvirta and van Dijk (2004, 2005) to verify whether the panel smooth transition effect exists in the future price volatility variable. This research uses regression model to analyze the no...
| Main Authors: | , |
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2016
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| Online Access: | http://ndltd.ncl.edu.tw/handle/43849570272910504279 |