Asymmetric Volatility in the Stock Market and REITs and the Implied Heterogeneous Beliefs
碩士 === 國立臺灣大學 === 土木工程學研究所 === 99 === This study investigates the distinct characteristics of asymmetric volatility of the stock market and REITs by GJR-GARCH model. In particular, accounting for the regime shift points, this study divides the time series into several sub-periods by dynamic cumulati...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2011
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| Online Access: | http://ndltd.ncl.edu.tw/handle/53427007056865966905 |