Dynamic Correlation between Stock Market and Foreign Exchange Market Using the Multivariate t Distribution
碩士 === 國立高雄第一科技大學 === 金融營運所 === 93 === This paper investigates the dynamic relationships among three major equity and currency markets. Through using the VAR-DCC-MGARCH、VAR-CCC-MGARCH and VAR-BEKK-MGARCH models, we can analyze the dynamic correlation among pairs of national equity markets and the re...
| 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/70762137186363244631 |