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    Please use this identifier to cite or link to this item: https://ir.cnu.edu.tw/handle/310902800/21705

    標題: An impact of the U.S. and the U.K. return rates's volatility on the stock market returns: an evidence study of Germany's stock market returns
    作者: Wann-Jyi Horng
    Jun-Yen Lee
    貢獻者: 醫務管理系
    關鍵字: stock market return
    threshold GARCH
    日期: 2008-11
    上傳時間: 2009-10-12 11:28:02 (UTC+8)
    摘要: In this paper, the researcher proposes a double threshold-IGRACH model to investigate the impacts of U.S. and U.K. stock return volatility rates for the Germany stock market. Empirical results show that the double threshold-IGRACH(1,1) model is appropriate to be used in investigating how the volatility rates of the U.S. and the U.K. stock market return affect the Germany stock returns, as well as reflects that the Germany stock market has an asymmetrical effect. It also shows that the news of the U.S. and the U.K. stock return volatilities would affect the Germany stock market returns, including its variation risk. Therefore, the double threshold-IGARCH(1,1) model has more better explanatory ability as compared to the GARCH and the GJR-GARCH models.
    關聯: IEEE Computer Society 2:p.1159-1163
    Appears in Collections:[醫務管理系(所)] 期刊論文

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