教師資料查詢 | 類別: 期刊論文 | 教師: 李彥賢 YEN-HSIEN LEE (瀏覽個人網頁)

標題:Global and regional range-based volatility spillover effects
學年101
學期2
出版(發表)日期2013/03/01
作品名稱Global and regional range-based volatility spillover effects
作品名稱(其他語言)
著者Yen-Hsien Lee
單位
出版者
著錄名稱、卷期、頁數Emerging Markets Review 14, 1-10
摘要This study extends the univariate Weibull conditional autoregressive range (CARR) model to establish a bivariate Weibull CARR (BWCARR) model to investigate the range-based volatility spillover effect. The empirical results indicate that a conditional autoregressive range relationship exists on the US, Japan, mainland China, Hong Kong and Taiwan stock markets. The new BWCARR model is more credible and efficient than the CARR model. Moreover, the range-based volatility for the US and Japan has an impact on Taiwan, indicating that there exists a range-based global and regional stock market spillover effect that has an impact on the Taiwanese stock market.
關鍵字The bivariate Weibull distribution;Volatility spillover;Conditional autoregressive range model
語言英文
ISSN1566-0141
期刊性質國外
收錄於SSCI;
產學合作
通訊作者
審稿制度
國別荷蘭
公開徵稿
出版型式,紙本
相關連結
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