Empirical analysis of stock returns and volatility: Evidence from seven asian stock markets based on TAR-GARCH model

Review of Quantitative Finance and Accounting

Volumn 17, Issue 3, 2001, Pages 301-318

  Chiang, Thomas C ^a   Doong, Shuh Chyi ^b  

^a DREXEL UNIVERSITY   (United States)

^b FENG CHIA UNIVERSITY   (Taiwan)

Author keywords

Asian stock markets; Asymmetric effect; Stock returns; TAR GARCH model; Volatility

Indexed keywords

EID: 0141709061     PISSN: 0924865X     EISSN: 15737179     Source Type: Journal    
DOI: 10.1023/A:1012296727217     Document Type: Article

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