Bayesian Asymmetric Causality in Quantile Regression
碩士 === 逢甲大學 === 統計與精算所 === 97 === The purpose of this thesis is to propose a nonlinear Granger-causality test over a range of quantile levels in financial market. We consider quantile regression with heteroskedastic errors to discuss causal relation between futures and stock returns, while the tradi...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2009
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/49345125503369074425 |