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An analysis of long memory in volatility for Asian stock markets

Chung, Huimin; Lin, William T.; Wu, Soushan - In: Review of Pacific Basin financial markets and policies 3 (2000) 3, pp. 309-330

Persistent link: https://www.econbiz.de/10001535912

A new approach to stress testing of stock portfolios and its application to the Taiwan stock market

Wang, Shen; Wu, Soushan; Chung, Huimin - In: The Asia Pacific journal of economics and business : APJEB 4 (2000) 2, pp. 52-73

Persistent link: https://www.econbiz.de/10001652203

Using zero-non-zero patterned vector autoregressive modelling to test for causality etween money supply, GDP growth, the London stock market index and the euro exchange rate

Lin, Edward J. Y.; Penm, Jammie H.; Terrell, R. D.; Wu, … - In: Research in finance 20 (2003), pp. 99-117

Persistent link: https://www.econbiz.de/10001902283

USING ZERO-NON-ZERO PATTERNED VECTOR AUTOREGRESSIVE MODELLING TO TEST FOR CAUSALITY BETWEEN MONEY SUPPLY, GDP GROWTH, THE LONDON STOCK MARKET INDEX AND THE EURO EXCHANGE RATE

Lin, Edward J.Y.; Penm, J.H.W.; Terrell, R.D.; Wu, Soushan - In: Research in finance : Vol. 20, (pp. 99-117). 2003

In this paper the techniques of zero-non-zero (ZNZ) patterned vector autoregressive modelling are utilized to examine two issues associated with the European single currency – the euro. First, “Granger causality” is employed to examine the causal linkages between the euro exchange rate,...

Persistent link: https://www.econbiz.de/10015388979