| dc.contributor | 金融系 | |
| dc.creator (作者) | Wang, K.-L.;Fawson, C.;Chen, M.-L.;Wu, An Chi | |
| dc.date (日期) | 2014-04 | |
| dc.date.accessioned | 15-Jun-2015 16:25:42 (UTC+8) | - |
| dc.date.available | 15-Jun-2015 16:25:42 (UTC+8) | - |
| dc.date.issued (上傳時間) | 15-Jun-2015 16:25:42 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/75805 | - |
| dc.description.abstract (摘要) | Using an innovative GMGARCH-MSKST model that allows for asymmetric generalized dynamic conditional correlation, this paper analyzes return and volatility interactions among spot, non-deliverable forward (NDF) and deliverable forward (DF) exchange rate markets for Korea and Taiwan. With the backdrop of these two very different regulatory and institutional regimes we examine how the inter-temporal dynamics of forward-directed currency market instruments are both influenced by, and influence, spot market exchange rates. © 2014 Elsevier B.V. | |
| dc.format.extent | 727865 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.relation (關聯) | Pacific Basin Finance Journal, 27, 115-137 | |
| dc.subject (關鍵詞) | Forward-directed currency markets; Multivariate GMGARCH | |
| dc.title (題名) | Characterizing information flows among spot, deliverable forward and non-deliverable forward exchange rate markets: A cross-country comparison | |
| dc.type (資料類型) | article | en |
| dc.identifier.doi (DOI) | 10.1016/j.pacfin.2014.01.002 | |
| dc.doi.uri (DOI) | http://dx.doi.org/10.1016/j.pacfin.2014.01.002 | |
