Dynamic Volatility Linkage between Taiwan MSCI Index and International Stock Markets
碩士 === 國立中山大學 === 財務管理學系研究所 === 98 === This paper uses multivariate DCC-GARCH model to investigate the volatility of dynamic correlation between MSCI Taiwan stock index and the USA, China, Japan , Asia and global stock market. The existence of stock market volatility asymmetry, volatility spread of...
| 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/09954040415724641669 |