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題 名 | Dynamic Relatedness Analysis of Two Stock Market Returns Volatility: An Empirical Study on the South Korean and Japanese Stock Markets |
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作 者 | Horng, Wann-jyi; Hu, Tien-chung; Tsai, Ju-lan; | 書刊名 | Asian Journal of Management and Humanity Sciences |
卷 期 | 4:1 2009.03[民98.03] |
頁 次 | 頁1-15 |
分類號 | 563.54 |
關鍵詞 | Asymmetrical effect; Bivariate asymmetric-GARCH model; Constant conditional correlation; Dynamic conditional correlation; Stock market returns; Student's t distribution; GJR-GARCH model; |
語 文 | 英文(English) |