| dc.contributor | 金融系 | |
| dc.creator (作者) | 趙世偉 | zh_TW |
| dc.creator (作者) | Chao, Shih-Wei | en_US |
| dc.date (日期) | 2018-04 | |
| dc.date.accessioned | 28-八月-2018 14:27:02 (UTC+8) | - |
| dc.date.available | 28-八月-2018 14:27:02 (UTC+8) | - |
| dc.date.issued (上傳時間) | 28-八月-2018 14:27:02 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/119679 | - |
| dc.description.abstract (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. | en_US |
| dc.format.extent | 148 bytes | - |
| dc.format.mimetype | text/html | - |
| dc.relation (關聯) | Emerging Markets Finance and Trade | |
| dc.subject (關鍵詞) | GARCH; MIDAS; Taiwan stock market; volatility components | en_US |
| dc.title (題名) | The Role of US Variables in Long-Run and Short-Run Taiwan Stock Volatility | en_US |
| dc.type (資料類型) | article | |
| dc.identifier.doi (DOI) | 10.1080/1540496X.2018.1464908 | |
| dc.doi.uri (DOI) | https://doi.org/10.1080/1540496X.2018.1464908 | |
