Assymetrical reaction to US stock-return news: Evidence from major stock markets based on a double-threshold model

Journal of Economics and Business

Volumn 55, Issue 5-6, 2003, Pages 487-502

  Chen, Cathy W S ^a   Chiang, Thomas C ^b   So, Mike K P ^c  

^a FENG CHIA UNIVERSITY   (Taiwan)

^b DREXEL UNIVERSITY   (United States)

^c HONG KONG UNIVERSITY OF SCIENCE AND TECHNOLOGY   (Hong Kong)

Author keywords

Asymmetry; MCMC methods; Threshold GARCH; Volatility

Indexed keywords

EID: 0141792680     PISSN: 00129933     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0148-6195(03)00051-1     Document Type: Article

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