Subprime Crisis Impacted on U.S., Europe and Emerging Bond Market - Discussing Impulse, Spillover and Contagion Effect
碩士 === 銘傳大學 === 財務金融學系碩士班 === 97 === This study establishes a STVAR-GJR-GARCH model to test the impact, volatility spillover and contagion effects of U.S. - and Europe- (Emerging-) bond market after subprime crisis. The empirical results show that the subprime crisis had a significant impact (non-si...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2009
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/4yd8z4 |