Bifurcations in a stock market model
β Scribed by Luca Luigi Ghezzi
- Publisher
- Elsevier Science
- Year
- 1992
- Tongue
- English
- Weight
- 404 KB
- Volume
- 19
- Category
- Article
- ISSN
- 0167-6911
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We thank Cars Hommes and two anonymous referees for helpful comments and suggestions. This work has been performed under the auspices of CNR, Italy, and under the activity of the national research project &Dinamiche non lineari ed applicazioni alle scienze economiche e sociali', MURST, Italy.
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