A Study on the Long Memory, Interrelationships and Volatility Spillovers for Stock Indexes of Taiwanese TFT-LCD Upper , Middle and Down Streams:An Application of FIEC－FIGARCH Model
碩士 === 國立臺北大學 === 國際企業研究所 === 96 === Most literature proves that the long-memory model can simulate the volatility of financial data well. Therefore, this study formulates a FIEC-FIGARCH Model by incorporating a FIGARCH Model into a Fractionally Cointegrated Error Correction Model (FICEM), to analyz...
| Main Authors: | , |
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2008
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| Online Access: | http://ndltd.ncl.edu.tw/handle/51277106897844221450 |