The Relationship among REIT, Large Cap Stocks, Small Cap Stocks and Bond - A Case Study of Japan
碩士 === 國立雲林科技大學 === 財務金融系碩士班 === 100 === This paper apply a asymmetric generalized dynamic conditional correlation GARCH model by Cappiello, Engle and Sheppard(2006) to investigate the volatility of dynamic conditional correlation, volatility asymmetry, and clustering effects among JREIT, Large Cap...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2012
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| Online Access: | http://ndltd.ncl.edu.tw/handle/84203543935274619846 |