Spillovers between U.S and Taiwan Equity Markets
碩士 === 淡江大學 === 國際貿易學系 === 88 === Abstract: This thesis employs bivariate GJR GARCH(1,1)-M model to examine the return and cross volatility spillovers between U.S(Standard & Poor’ s 500 Index, Dow Jones Industrial Average, NASDAQ) and Taiwan (Taiwan Market Index and Taiwan Electro...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2000
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| Online Access: | http://ndltd.ncl.edu.tw/handle/32596080366955568795 |