Doong, Shuh-Chyi; Yang, Sheng-Yung; Chiang, Thomas C. - In: Review of Pacific Basin Financial Markets and Policies … 08 (2005) 04, pp. 637-657
asymmetric specification of conditional mean and conditional variance models, we find the autocorrelation coefficient to be … markets respond sensitively to the US market, especially on the down side. The asymmetric effects are found to be present in …
