The Interaction among Taiwan Stock Market, Taiwan Exchange Market, and American Stock Market：An Analysis in a Trivariate GJR GARCH-X Framework
碩士 === 義守大學 === 財務金融學系碩士班 === 93 === We provide evidence of interaction among Taiwan stock market, Taiwan currency, and American Stock market. A trivariate GJR GARCH-X model is developed that includes a cointegrating residual as an explanatory variable for both the conditional mean and the condition...
| 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/97959513007071050494 |