Nonlinear Dynamics between ADRs and the Underlying Stock- An Evaluation of the Smooth Transition Autoregressive Model
碩士 === 淡江大學 === 財務金融學系碩士在職專班 === 97 === Abstract： Because of factors such as transaction costs, the prices of ADRs and their underlying shares converge within a non-linear framework. This paper selected the STAR（smooth transition autoregressive）model, proposed by Teräsvirta（1994）to model the converg...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2009
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| Online Access: | http://ndltd.ncl.edu.tw/handle/u4f5we |