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題名 | 匯率波動對臺灣股票市場報酬不對稱性之研究:雙門檻-GARCH模型之應用=An Empirical Study on the Asymmetry of Impact of Exchange Rate Volatility on Taiwan Stock Market Returns: An Application of Double Threshold-GARCH Model |
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作者 | 洪萬吉; 陳進士; 王天福; Horng, Wann-jyi; Chen, Chin-shih; Wang, Tien-fu; |
期刊 | 美和技術學院學報 |
出版日期 | 20070300 |
卷期 | 26:1 2007.03[民96.03] |
頁次 | 頁85-99 |
分類號 | 563.2 |
語文 | chi |
關鍵詞 | 股價報酬; 匯率; 雙門檻-GARCH; 不對稱效果; Stock returns; Exchange rate; GARCH; GJR-GARCH; Double threshold-GARCH; Asymmetrical effect; |