Nonlinear Interactions, Volatility Spillovers and Smooth Transition Effects among Stock Price, Exchange Rate and Investor Sentiment: An Application of STVEC-STGARCH Model and Evidences from Taiwan
碩士 === 國立臺北大學 === 國際企業研究所 === 106 === This study tries to investigate the interactions, volatility spillovers and smooth transition effects among stock price, exchange rate of Taiwan as well as the investor sentiment and contagion effects of the global financial crises by STVE-STGARCH-DCC (Smooth Tr...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2018
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| Online Access: | http://ndltd.ncl.edu.tw/handle/xmq2ru |