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Fully Informed and on the Road to Ruin: The Perfect Failure of Asymmetric Deterrence

โœ Scribed by Jean-Pierre P. Langlois; Catherine C. Langlois

Book ID
111085784
Publisher
John Wiley and Sons
Year
2005
Tongue
English
Weight
207 KB
Volume
49
Category
Article
ISSN
0020-8833

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The asymmetric reactions of mean and vol
The asymmetric reactions of mean and volatility of stock returns to domestic and international information based on a four-regime double-threshold GARCH model
โœ Cathy W.S. Chen; Ming Jing Yang; Richard Gerlach; H. Jim Lo ๐Ÿ“‚ Article ๐Ÿ“… 2006 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 281 KB

In this paper, we investigate the asymmetric reactions of mean and volatility of stock returns in five major markets to their own local news and the US information via linear and nonlinear models. We introduce a four-regime Double-Threshold GARCH (DTGARCH) model, which allows asymmetry in both the c