This paper proposes volatility and spectral based methods for cluster analysis of stock returns. Using the information about both the estimated parameters in the threshold GARCH (or TGARCH) equation and the periodogram of the squared returns, we compute a distance matrix for the stock returns....

International integration of financial markets provides a channel for currency movements to affect stock prices. This paper applies a four-regime double-threshold GARCH (DTGARCH) model of stock market returns to investigate empirically the effects of daily currency movements on five stock market...

In this paper, we investigate the asymmetric reactions of mean and volatility of stock returns in five major markets to their own local news and the US information via linear and nonlinear models. We introduce a four-regime Double-Threshold GARCH (DTGARCH) model, which allows asymmetry in both...