A double-threshold GARCH model of stock market and currency shocks on stock returns

DOI10.1016/j.matcom.2008.01.048zbMath1152.91740OpenAlexW2122240136MaRDI QIDQ960342

Chia-Lin Chang, Yung-Lieh Yang

Publication date: 17 December 2008

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2008.01.048

zbMATH Keywords

asymmetryexchange ratesthreshold valuesstock market returnsdouble-threshold GARCH model

Mathematics Subject Classification ID

Related Items (3)

Further properties of random orthogonal matrix simulation ⋮ Quasi-maximum likelihood estimator of Laplace \((1,1)\) for GARCH models ⋮ A quantile function approach to the distribution of financial returns following TGARCH models

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