Asymmetric responses of international stock markets to trading volume

Physica A: Statistical Mechanics and its Applications

Volumn 360, Issue 2, 2006, Pages 422-444

  Gerlach, Richard ^a   Chen, Cathy W S ^b   Lin, Doris S Y ^b   Huang, Ming Hsiang ^c  

^a UNIVERSITY OF NEWCASTLE   (Australia)

^b FENG CHIA UNIVERSITY   (Taiwan)

^c NATIONAL CHANGHUA UNIVERSITY OF EDUCATION   (Taiwan)

Author keywords

Asymmetry; Double threshold GARCH; MCMC methods; Model selection; Trading volume change

Indexed keywords

INTERNATIONAL TRADE; MARKETING; MATHEMATICAL MODELS;

ASYMMETRIC RESPONSES; ASYMMETRY; DOUBLE THRESHOLD GARCH; INTERNATIONAL STOCK MARKETS; MCMC METHOD; MODEL SELECTION; TRADING VOLUME CHANGE;

INVENTORY CONTROL;

EID: 27744572325     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2005.06.045     Document Type: Article

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