Apply noncausal Cauchy AR(1) with Gaussian component to Taiwan Stock Price Index
碩士 === 國立政治大學 === 經濟學系 === 105 === Most of the previous studies focused on analyzing Taiwan Stock Price Index using time series models with GARCH effects. However, Gourieroux and Zakoian (2017) have demonstrated that noncausal Cauchy AR(1) process may be a possible model in which the bubbles are obs...
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| Format: | Others |
| Language: | zh-TW |
| Online Access: | http://ndltd.ncl.edu.tw/handle/phzkmj |