A double-threshold GARCH model of stock market and currency shocks on stock returns
type: Item
instance of: scholarly article
title: A double-threshold GARCH model of stock market and currency shocks on stock returns
zbMATH Open document ID: 1152.91740
author: Yung-Lieh Yang
author: Chialin Chang
published in: Mathematics and Computers in Simulation
publication date: 2008-12-17T00:00:00Z
Mathematics Subject Classification ID: 91B84
Mathematics Subject Classification ID: 91B74
Mathematics Subject Classification ID: 91B28
zbMATH DE Number: 5383102
zbMATH Keywords: threshold values
zbMATH Keywords: double-threshold GARCH model
zbMATH Keywords: asymmetry
zbMATH Keywords: stock market returns
zbMATH Keywords: exchange rates
MaRDI profile type: Publication
full work available at URL: j.matcom.2008.01.048
OpenAlex ID: W2122240136
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DOI: 10.1016/J.MATCOM.2008.01.048
description: scientific article; zbMATH DE number 5383102