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頁籤選單縮合
題 名 | Asymmetric and Dynamic Relatedness Analysis of the Taiwan and the Japan Stock Markets Return Volatility: An Application of the Bivariate GJR-GARCH Model=臺灣與日本股票市場報酬波動之不對稱與動態關聯性分析:雙變量GJR-GARCH模型之應用 |
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作 者 | 洪萬吉; 黃明棋; | 書刊名 | 數據分析 |
卷 期 | 3:3 2008.06[民97.06] |
頁 次 | 頁71-93 |
分類號 | 563.6 |
關鍵詞 | 股票市場報酬; 東京日經225股價指數; 臺灣加權股價指數; 双變量GJR-GARCH模型; 動態條件相關; 不對稱效果; Stock market returns; NK-225 index; Taiwan weighted stock price index; Bivariate GJR-GARCH model; Dynamic conditional correlation; Asymmetrical effect; |
語 文 | 英文(English) |