The Periodic Return and Volatility Pattern of the Intraday Currency Futures
碩士 === 國立暨南國際大學 === 國際企業學系 === 91 === Varies periodic patterns of return and volatility, such as overnight effect, time-of-the-day effect, and day-of-the-week effect, of current futures contracts are found in literatures. Most studies applied linear regression or GARCH model with seasonal dummy vari...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2003
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/27060155503892523154 |