Lee, Wo-Chiang; Lee, Joe-Ming - In: Asian Economic and Financial Review 2 (2012) 8, pp. 991-1000
Due to the market’s integrity and lack of liquidity of Taiwan’s bond market, a bond manager finds it difficult to flexibly adjust portfolio allocation and systemic risk. No matter in the T-M model, T-M ARMAX-GARCH model, or H-M ARMAX-GARCH model, this study’s results show that most bond...
