A Study on the Volatility Spillovers, Long Memory, Asymmetric Effects and Interactions between Central America and the US Stock Markets: The Contagion Effects of Special Events and Application of FIEC–FIAPGARCH–DCC Model
碩士 === 國立臺北大學 === 國際企業研究所 === 106 === This paper empirically investigates the volatility spillovers, long memory and asymmetric effects. Meanwhile, we also detect the contagion effects of special events by a multivariate Fractionally Integrated Error Correction (FIEC) and Fractionally Integrated Asy...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2017
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| Online Access: | http://ndltd.ncl.edu.tw/handle/258p55 |