An Application of MultivariateMarkov-Switching Mode
碩士 === 嶺東科技大學 === 財務金融研究所 === 98 === A procedure is The study adopts the multivariate MARKOV-SWITCH Model provided by Hamilton (1990) to analyses the contagion effects between the change in oil price and the volatility of stock returns in the zones of Greater China. The empirical results indicate th...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2010
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| Online Access: | http://ndltd.ncl.edu.tw/handle/07133733449765872819 |