The Dynamic Linkage among Exchange rate SPOT, DF and NDF Market
碩士 === 淡江大學 === 國際貿易學系 === 90 === A three-variate EC GJR GARCH-M with Conditional Correlation model is introduced to investigate the dynamic linkage three exchange rate markets, including SPOT, DF and NDF markets. Our innovative model provide a better description of data characteristics, such as vol...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2002
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| Online Access: | http://ndltd.ncl.edu.tw/handle/49620513163654282635 |