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: | Shih-feng Chien, 簡士峰 |
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Other Authors: | Ming-shu Hua |
Format: | Others |
Language: | zh-TW |
Published: |
2003
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Online Access: | http://ndltd.ncl.edu.tw/handle/27060155503892523154 |
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