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    Please use this identifier to cite or link to this item: https://ir.cnu.edu.tw/handle/310902800/22103

    標題: An Impact of U.S. and U.K. Stock Return Rates’ 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
    日期: 2008-11
    上傳時間: 2009-12-28 17:07:58 (UTC+8)
    摘要: In this paper, the researcher proposes a double threshold-IGRACH model to investigate the impacts of U.S. and UK 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 US. and the UK 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 UK 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 explanatoiy ability as compared to the GARCH and the GJR-GARCH models.
    關聯: The 2008 International Conference on Convergence and Hybrid Information Technology,起迄日:2008/11/11~2008/11/13,地點:Busan, South Korea
    Appears in Collections:[醫務管理系(所)] 會議論文

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