An Empirical Study on Spillover Effect of Stock Return Volatility between ROSE and TSE Markets
碩士 === 淡江大學 === 管理科學學系 === 89 === Using univariate GARCH、bivariate GARCH and VAR models, this paper investigates the transmission pattern of volatility between Taiwan Stock Exchange and R.O.C. Over The Counter Securities Exchange. The key empirical findings are summarized as follows：...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2001
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| Online Access: | http://ndltd.ncl.edu.tw/handle/96622604256753629044 |