The asymmetric reactions of mean and volatility of stock...

The asymmetric reactions of mean and volatility of stock returns to domestic and international information based on a four-regime double-threshold GARCH model

Cathy W.S. Chen, Ming Jing Yang, Richard Gerlach, H. Jim Lo
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Volume:
366
Year:
2006
Language:
english
Pages:
18
DOI:
10.1016/j.physa.2005.10.021
File:
PDF, 281 KB
english, 2006
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