Investigating Regime-Switching Risk-Return Correlation: Evidence from Emerging Markets
碩士 === 世新大學 === 財務金融學研究所(含碩專班) === 96 === This paper investigates the risk-return relation in the emerging markets. So far as the proxy of risk is concerned, this paper uses GARCH (1,1) model to capture volatility, in other words, GARCH variance is the proxy of risk. In additional, the risk-return r...
Main Authors: | , |
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Other Authors: | |
Format: | Others |
Language: | en_US |
Published: |
2008
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Online Access: | http://ndltd.ncl.edu.tw/handle/dx99ac |