Multivariate GARCH Models for the Greater China Stock Markets
This paper reviews the commonly used multivariate GARCH models and uses the daily data of the four Greater China region stock markets, namely Hongkong, Shanghai,Shenzhen, and Singapore, and data of Japan as one ex-ogenous variable to investigate the volatility and shocks spillover behavior and to es...
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| 格式: | text |
| 語言: | English |
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Institutional Knowledge at Singapore Management University
2009
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| 在線閱讀: | https://ink.library.smu.edu.sg/etd_coll/30 https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1029&context=etd_coll |
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