The Dynamic Linkage between the Intraday Returns of the U.S. E-mini Stock Index Futures and Taiwan’s Spot and Future Stock Indices
碩士 === 國立臺灣海洋大學 === 應用經濟研究所 === 96 === This study applies Johansen Cointegration Test (JC), Vector Error Correction Model (VECM), Granger Causality Test (GC), Impulse Response Analysis (IRA) and Variance Decomposition (VD) to data on 15-minute returns in the U.S. E-mini index futures and the Taiwan...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2008
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| Online Access: | http://ndltd.ncl.edu.tw/handle/77575052943509611628 |