A double-threshold GARCH model of stock
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Yung-Lieh Yang; Chia-Lin Chang
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Article
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2008
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Elsevier Science
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English
โ 491 KB
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