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

Yung-Lieh Yang Chia-Lin Chang

Published in: Math. Comput. Simul. (2008)

Keyphrases

stock market
stock returns
garch model
spot market
chinese stock market
financial time series
stock index
short term
stock price
stock exchange
stock data
financial markets
listed companies
financial data
long term
non stationary