English  |  正體中文  |  简体中文  |  Items with full text/Total items : 52052/87180 (60%)
Visitors : 8895506      Online Users : 122
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/92151

    Title: The Correlation and Contagion Effect between Us Reits and Japan Reits - Based On the Armax-Gjr-Garch-Copula Model
    Authors: 李沃牆
    Contributors: 淡江大學財務金融學系
    Keywords: Submortgage crisis;Copula model;Contagion effect;ARMAX-GJR-GARCH
    Date: 2013-12
    Issue Date: 2013-09-10 11:45:07 (UTC+8)
    Publisher: Karachi: Asian Economic and Social Society
    Abstract: The article discuss the relationship between US REITs and Japan REITs. In empirical study, we apply five static ARMAX-GJR-GARCH copula models and two time-varying dynamic copula models. The results show that the kendall tau is lower before the submortgage crisis. The contagion effect test exhibits the US submortgate crisis will affect Japan REITs. Last, no matter the large, middle or small scale positive and negative shock, the contagion probability during the crisis is larger than before the submortgage crisis.
    Relation: Asian Economic and Financial Review 3(12), pp.1609-1619
    Appears in Collections:[財務金融學系暨研究所] 期刊論文

    Files in This Item:

    File Description SizeFormat
    aefr 3(12), 1609-1619.pdf526KbAdobe PDF347View/Open

    All items in 機構典藏 are protected by copyright, with all rights reserved.

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library & TKU Library IR teams. Copyright ©   - Feedback