教師資料查詢 | 類別: 期刊論文 | 教師: 李沃牆 Lee, Wo-chiang (瀏覽個人網頁)

標題:The Correlation and Contagion Effect between Us Reits and Japan Reits - Based On the Armax-Gjr-Garch-Copula Model
學年
學期
出版(發表)日期2013/12/01
作品名稱The Correlation and Contagion Effect between Us Reits and Japan Reits - Based On the Armax-Gjr-Garch-Copula Model
作品名稱(其他語言)
著者李沃牆
單位淡江大學財務金融學系
出版者Karachi: Asian Economic and Social Society
著錄名稱、卷期、頁數Asian Economic and Financial Review 3(12), pp.1609-1619
摘要The article discuss the relationship between US REITs and Japan REITs. In empirical study, we apply five static ARMAX-GJR-GARCH copula models and two time-varying dynamic copula models. The results show that the kendall tau is lower before the submortgage crisis. The contagion effect test exhibits the US submortgate crisis will affect Japan REITs. Last, no matter the large, middle or small scale positive and negative shock, the contagion probability during the crisis is larger than before the submortgage crisis.
關鍵字Submortgage crisis; Copula model; Contagion effect; ARMAX-GJR-GARCH
語言英文
ISSN2305-2147
期刊性質國外
收錄於
產學合作
通訊作者Peng, Miin-Yu
審稿制度
國別巴基斯坦
公開徵稿
出版型式紙本
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