Asymmetric response and interaction of U.S. and local news in financial markets

Applied Stochastic Models in Business and Industry

Volumn 21, Issue 3, 2005, Pages 273-288

  Chen, Cathy W S ^a   So, Mike K P ^b   Gerlach, Richard H ^c  

^a FENG CHIA UNIVERSITY   (Taiwan)

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

^c UNIVERSITY OF NEWCASTLE   (Australia)

Author keywords

Asymmetric mean reversion; Asymmetric volatility model; Bayesian; Double threshold GARCH models; GJR GARCH models; Leverage effect; Markov chain Monte Carlo method; Stock markets

Indexed keywords

INVENTORY CONTROL; MARKETING; MARKOV PROCESSES; MATHEMATICAL MODELS; MONTE CARLO METHODS; RISK ASSESSMENT;

ASYMMETRIC MEAN REVERSION; ASYMMETRIC VOLATILITY MODEL; BAYESIAN; DOUBLE THRESHOLD GARCH MODELS; GJR-GARCH MODELS; LEVERAGE EFFECTS; MARKOV CHAIN MONTE CARLO METHODS; STOCK MARKETS;

FINANCE;

EID: 21244474848     PISSN: 15241904     EISSN: None     Source Type: Journal    
DOI: 10.1002/asmb.600     Document Type: Article

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