Interrelationships among the Taiwanese, Japanese and Korean TFT-LCD panel industry stock market indexes : an application of the trivariate FIEC-FIGARCH model
Hsiang-Hsi Liu
| Year of publication: |
2012
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|---|---|
| Authors: | Liu, Hsiang-hsi |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 29.2012, 6, p. 2724-2733
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| Subject: | Long memory | FIEC-FIGARCH model | Spillover effects | Fractional cointegration | Südkorea | South Korea | Taiwan | Japan | Kointegration | Cointegration | Spillover-Effekt | Spillover effect | Aktienindex | Stock index | Schätzung | Estimation | Börsenkurs | Share price | Zeitreihenanalyse | Time series analysis | Aktienmarkt | Stock market | ARCH-Modell | ARCH model | Volatilität | Volatility |