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ArticleA double-threshold GARCH model of stock market and currency shocks on stock returns

Yung-Lieh Yang2008

Article2008

A double-threshold GARCH model of stock market and currency shocks on stock returns

Yung-Lieh Yang · Chia‐Lin Chang

40 citations·0/0 files stored·Mathematics and Computers in Simulation

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Market Dynamics and Volatility

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1994Threshold heteroskedastic models 1986Generalized autoregressive conditional heteroscedasticity 2003ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL 1996ON THE DYNAMIC RELATION BETWEEN STOCK PRICES AND EXCHANGE RATES

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2016The overconfident trading behavior of individual versus institutional investors 2013Revisited Return and Volatility Spillover Effect in Korea 2018Volatility spillover between stock and foreign exchange market of China: evidence from subprime Asian financial crisis 2015The Effect of Inflation on Inflation Uncertainty in the G7 Countries: A Double Threshold GARCH Model

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Year2008

Typearticle

Published2008-04-09

VenueMathematics and Computers in Simulation

ISSN-L0378-4754

Languageen

Citations40

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.matcom.2008.01.048

openalex_workW2122240136

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