An Investigation on the Price and Volume Relationship of Taiwan Interest Rate Futures
碩士 === 靜宜大學 === 會計學系研究所 === 94 === This paper uses VAR-bi-EGARCH model to investigate the lead/lag relationship and asymmetric volatility between return and trading volume of nearby-month 10-year government bond futures(GBF) and 30-day Commercial Paper futures(CPF). The results are as follows：(1) Ac...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2006
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| Online Access: | http://ndltd.ncl.edu.tw/handle/ah5r2r |