๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

A multi-country study of power ARCH models and national stock market returns

โœ Scribed by Robert D. Brooks; Robert W. Faff; Michael D. McKenzie; Heather Mitchell

Book ID
117427623
Publisher
Elsevier Science
Year
2000
Tongue
English
Weight
89 KB
Volume
19
Category
Article
ISSN
0261-5606

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International integration of financial markets provides a channel for currency movements to affect stock prices. This paper applies a four-regime double-threshold GARCH (DTGARCH) model of stock market returns to investigate empirically the effects of daily currency movements on five stock market ret