The Transmission Mechanism of Asymmetric Risk between America and Asian Four Little Dragons Stock Returns: An application of GJR-GARCH
碩士 === 嶺東科技大學 === 財務金融系碩士班 === 105 === This thesis explores whether the US stock price has an asymmetric transmission effect on the Asian Four Dragons stock market returns and risks, using GJR-GARCH model. The estimated results in the GJR-GARCH model variance equation turn out to prove that previou...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2017
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| Online Access: | http://ndltd.ncl.edu.tw/handle/mkuu28 |