This investigation adopts the Correlated Bivariate Poisson GARCH with Jump and Diffusion Volatility Spillover (CBP-GARCH-JDSV) model to determine whether the Qualified Foreign Institutional Investors (QFIIs) deregulation in Taiwanese stock markets influences normal and abnormal information...

This study extends the GARCH with autoregressive conditional jump intensity in Generalized Error Distribution (GARJI-GED) model to identify the fundamental characteristics of Nikkei 225 index and futures. Furthermore, this study applied the Granger causality test to investigate whether an...

This study utilizes a Smooth Transition Vector Error Correction Model (STVECM) with Glosten-Jagannathan-Runkle-Generalized Autoregressive Conditional Heteroscedasticity (GJR-GARCH) and spillover volatility to investigate the changes in short-run return dynamics when a deviation from the...

This study examines whether nonlinear adjustment of short-term deviations impacts US real estate market returns by applying an exponential smooth transition threshold error-correction model with Generalized Auto Regressive Conditional Heteroscedasticity (GARCH) (ESTECM-GARCH). Empirical results...

This study investigates how foreign investors impact the Taiwanese stock market using the AutoRegressive Jump Intensity (ARJI) model proposed by Chan and Maheu (2002), in which stock volatility in Taiwan is classified as either normal or abnormal and the net purchases of foreign investors,...

This study adopts the autoregressive conditional jump intensity (ARJI) model proposed by Chan and Maheu [J. Business Econ. Stat. 20 (2002) 377–389] to investigate the impact of news on SIMEX-Nikkei 225 and CME-Nikkei 225 (regards it as the twins). Empirical results demonstrate that the twins...

This study extends the GARCH with autoregressive conditional jump intensity in Generalized Error Distribution (GARJI-GED) model to identify the fundamental characteristics of Nikkei 225 index and futures. Furthermore, this study applied the Granger causality test to investigate whether an...

This study investigates the impact of the expected and unexpected trading behavior of foreign investors on return volatilities during structural change periods. And the jump intensity model pinpoints crucial events that have influenced the stock market. The empirical results find that there has...

This investigation adopts the Correlated Bivariate Poisson GARCH with Jump and Diffusion Volatility Spillover (CBP-GARCH-JDSV) model to determine whether the Qualified Foreign Institutional Investors (QFIIs) deregulation in Taiwanese stock markets influences normal and abnormal information...

This article investigates normal and abnormal information transmissions by examining diffusion volatility and jump intensity spillovers in China's stock markets. We analyse the impact of releasing investing restriction to information transmission mechanism, and also the interactions between 'A'...