Chang, Tsangyao; Nieh, Chien-Chung; Yang, Ming Jing; … - In: Physica A: Statistical Mechanics and its Applications 364 (2006) C, pp. 343-354
In this study, we employ a recently developed econometric technique of the threshold model with the GJR-GARCH process on error terms to investigate the relationships between weather factors and stock market returns in Taiwan using daily data for the period of 1 July 1997–22 October 2003. The...
