Applications of HAR-GARCH Models
碩士 === 國立高雄大學 === 統計學研究所 === 107 === This study proposes to construct association rules for global economic conditions by fitting hysteretic autoregressive models with GARCH in mean effects, denoted by HAR-GARCH, to financial time series. A Markov Chain Monte Carlo algorithm is employed to estimate...
| 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/dy2tky |