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Examining the Volatility of Taiwan Stock Index Returns via a Three-Volatility-Regime Markov-Switching ARCH Model |
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| Authors: | Li Ming-Yuan Leon Lin Hsiou-Wei William |
| Affiliation: | (1) Department of Banking and Finance, National Chi Nan University, 1, University Rd., Puli, Nantou, Taiwan, 545;(2) Department of International Business, National Taiwan University, Taiwan No. 1, Sec. 4, Roosevelt Road, Taipei, Taiwan, 106 Tel.: |
| Abstract: | |
| Keywords: | Markov-switching ARCH models stock index returns Asian financial crisis |
| 本文献已被 SpringerLink 等数据库收录！ | |