Futures Markets Dynamics: Asymmetric Volatility, Leverage Effects and Long-memory Characteristics
碩士 === 中原大學 === 國際商學碩士學位學程 === 106 === This research proposal examines the performance of return and volatility models containing long-memory, asymmetric volatility, and leverage effects by comparing five types of futures contracts. The daily data will be sourced from the secondary database Quandl.c...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2018
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| Online Access: | http://ndltd.ncl.edu.tw/handle/922zuk |