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...
Main Authors: | Ling-jung Hsu, 許靈容 |
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Other Authors: | Shew-huei Kuo |
Format: | Others |
Language: | zh-TW |
Published: |
2012
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Online Access: | http://ndltd.ncl.edu.tw/handle/84203543935274619846 |
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