The major goal of this paper is to examine the hypothesis that stock returns and return volatility are asymmetric, threshold nonlinear, functions of change in trading volume. A minor goal is to examine whether return spillover effects also display such asymmetry. Employing a double-threshold...

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...

We make use of the voluntary HIV and syphilis test results conducted at five gay saunas in Taipei from August of 1999 to end of 2002 to estimate the number of HIV-positive gay saunas patrons in Taipei area by utilizing Hierarchical Bayes method in Generalized Removal Model for Open Populations...