Volatility Spillovers Among Stocks, Bonds, Gold And Oil
碩士 === 國立臺北商業大學 === 財務金融系研究所 === 107 === This study employs the DCC model, ADCC model and multivariate AR(1)-GARCH model to investigate the volatility spillovers between the gold, crude oil, S&P500 stock market and US bond market from January 4, 2000 to October 10, 2018. The sample period is par...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2019
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| Online Access: | http://ndltd.ncl.edu.tw/handle/78jtfy |