The Contagion Effect Influence of US Debt Crisis on Taiwan Stock Market-Application of ARMAX-GARCH-Copula Type Model
碩士 === 淡江大學 === 財務金融學系碩士在職專班 === 100 === The purpose of this study is to investigate whether a contagion effect exists between the Taiwan and US stock markets. In empirical study, we apply ARMAX-GARCH-Copula Type to check the correlation between the two markets, further to evaluate the volatility th...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2012
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| Online Access: | http://ndltd.ncl.edu.tw/handle/08281533984294995019 |