政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/119679
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文筆數/總筆數 : 114205/145239 (79%)
造訪人次 : 52905972      線上人數 : 586
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜尋範圍 查詢小技巧：
  • 您可在西文檢索詞彙前後加上"雙引號"，以獲取較精準的檢索結果
  • 若欲以作者姓名搜尋，建議至進階搜尋限定作者欄位，可獲得較完整資料
    •  進階搜尋
    政大機構典藏 > 商學院 > 金融學系 > 期刊論文 >  Item 140.119/119679


    請使用永久網址來引用或連結此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/119679


    題名: The Role of US Variables in Long-Run and Short-Run Taiwan Stock Volatility
    作者: 趙世偉
    Chao, Shih-Wei
    貢獻者: 金融系
    關鍵詞: GARCH;MIDAS;Taiwan stock market;volatility components
    日期: 2018-04
    上傳時間: 2018-08-28 14:27:02 (UTC+8)
    摘要: This article uses the GARCH-MIDAS model to decompose Taiwan stock volatility and studies the role of US economic variables in each component. The full-sample results indicate that the additional explanatory information of US variables is contributed mostly by stock market measures, and the link between short-run Taiwan and US stock volatility is particularly evident. The out-of-sample results suggest that the in-sample significant US variables lead to slightly smaller forecast errors for both volatility components, but the improvements are very limited. The analysis also extends to Electronics and Non-Electronics subindices, a range-based volatility estimator and a different volatility decomposition method. Despite these alternatives, the main conclusions do not change.
    關聯: Emerging Markets Finance and Trade
    資料類型: article
    DOI 連結: https://doi.org/10.1080/1540496X.2018.1464908
    DOI: 10.1080/1540496X.2018.1464908
    顯示於類別:[金融學系] 期刊論文

    文件中的檔案:

    檔案 描述 大小格式瀏覽次數
    index.html0KbHTML2562檢視/開啟


    在政大典藏中所有的資料項目都受到原著作權保護.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - 回饋