Stock return process and expected depreciation over the Asian financial crisis

Applied Economics

Volumn 33, Issue 7, 2001, Pages 905-912

  Fang, W ^a  

^a FENG CHIA UNIVERSITY   (Taiwan)

Author keywords

[No Author keywords available]

Indexed keywords

FINANCIAL CRISIS; MARKET CONDITIONS; STOCK MARKET;

EID: 0034971486     PISSN: 00036846     EISSN: None     Source Type: Journal    
DOI: 10.1080/00036840122487     Document Type: Article

References (11)

1. ARCH models: Properties, estimation and testing
2. Generalized autoregressive conditional hetroscedasticity
3. ARCH modelling in finance
4. Likelihood ratio statistics for autoregressive time series with a unit root
5. Autoregressive conditional hetroskedasticity with estimates of the variance of United Kingdom inflation
6. Estimating time varying risk premia in the term structure: The ARCH-M model
7. The weak-form efficiency of the Taiwan share market
8. The causes of volatility in a small, internationally integrated stock market: Ireland, July 1975-June 1994
9. Macrofactor conditional volatility, time-varying risk premia and stock return behaviour
10. Dynamic relations between macroeconomic variables and the Japaness stock market: An application of a vector error correction model
11. An empirical study of volatility in seven Southeast Asian stock market using ARV