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 en
ISSN 1566-0141
期刊性質 國外
收錄於 SSCI
產學合作
通訊作者
審稿制度 否
國別 NLD
公開徵稿
出版型式 ,紙本
相關連結

機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/109445 )