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Stock market and motion of a variable mass spring

โœ Scribed by Enrique Canessa


Publisher
Elsevier Science
Year
2009
Tongue
English
Weight
340 KB
Volume
388
Category
Article
ISSN
0378-4371

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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