On the distribution and conditional heteroscedasticity in Taiwan stock prices

Journal of Multinational Financial Management

Volumn 10, Issue 3-4, 2000, Pages 367-395

  Lin, Bing Huei ^a   Yeh, Shih Kuo ^b  

^a NATIONAL TAIWAN UNIVERSITY OF SCIENCE AND TECHNOLOGY   (Taiwan)

^b NATIONAL KAOHSIUNG UNIVERSITY OF APPLIED SCIENCES   (Taiwan)

Author keywords

Generalized autoregressive conditional heteroscedasticity (GARCH); Jump diffusion process; Leptokurtosis

Indexed keywords

EID: 0034398312     PISSN: 1042444X     EISSN: None     Source Type: Journal    
DOI: 10.1016/s1042-444x(00)00028-1     Document Type: Article

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