期刊論文
| 學年 | 102 |
|---|---|
| 學期 | 1 |
| 出版（發表）日期 | 2013-12-01 |
| 作品名稱 | The Correlation and Contagion Effect between Us Reits and Japan Reits - Based On the Armax-Gjr-Garch-Copula Model |
| 作品名稱（其他語言） | |
| 著者 | 李沃牆 |
| 單位 | 淡江大學財務金融學系 |
| 出版者 | Karachi: Asian Economic and Social Society |
| 著錄名稱、卷期、頁數 | Asian Economic and Financial Review 3(12), pp.1609-1619 |
| 摘要 | 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. |
| 關鍵字 | Submortgage crisis; Copula model; Contagion effect; ARMAX-GJR-GARCH |
| 語言 | en |
| ISSN | 2305-2147 |
| 期刊性質 | 國外 |
| 收錄於 | |
| 產學合作 | |
| 通訊作者 | Peng, Miin-Yu |
| 審稿制度 | 是 |
| 國別 | PAK |
| 公開徵稿 | |
| 出版型式 | 紙本 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/92151 ) |