Temporal Aggregation of GARCH Process: An Empirical Study of the Stock Markets in Greater China
碩士 === 真理大學 === 管理科學研究所 === 93 === This study is to investigate volatility-clustering and the parameters consistency between implied estimates on the temporal aggregation and direct estimates of GARCH(1,1) models at four frequencies(daily, weekly, bi-weekly and monthly) written on Greater China Stoc...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2005
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| Online Access: | http://ndltd.ncl.edu.tw/handle/09850273815529921880 |