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On a threshold heteroscedastic model

Article Abstract:

A threshold heteroscedastic model for predicting mean and volatility in financial markets is presented. Threshold nonlinearity and GARCH-type conditional variances are integrated in the model.

Author: Chen, Cathy W.S., So, Mike K.P.
Publisher: Elsevier B.V.
Publication Name: International Journal of Forecasting
Subject: Economics
ISSN: 0169-2070
Year: 2006
Taiwan, Hong Kong, Usage, Financial markets, Econometric models

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Country-fund discounts and risk: evidence from stock market volatility and macroeconomic volatility

Article Abstract:

Correlation between fund discounts in the United States, with volatility of stock market and macro economic fundamentals, is examined.

Author: Chiang, Thomas C., Kim, Doseong, Lee, Euiseong
Publisher: Elsevier B.V.
Publication Name: Journal of Economics and Business
Subject: Economics
ISSN: 0148-6195
Year: 2006
Stocks, Economic indicators, Stock markets, Stock market

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Asymmetrical reaction to US stock-return news: evidence from major stock markets based on a double-threshold model

Article Abstract:

Negative news has a stronger impact upon stock returns than positive news in this study of the US stock market.

Author: Chen, Cathy W.S., Chiang, Thomas C., So, Mike K.P.
Publisher: Elsevier B.V.
Publication Name: Journal of Economics and Business
Subject: Economics
ISSN: 0148-6195
Year: 2003
Labor Distribution by Employer, Analysis, Evaluation, Stock-exchange, Stock exchanges, Statistics, Return on investment, Rate of return

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Subjects list: Forecasts and trends, Market trend/market analysis, United States, Stock prices
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