Chen, Cathy W.S.; Yang, Ming Jing; Gerlach, Richard; … - In: Physica A: Statistical Mechanics and its Applications 366 (2006) C, pp. 401-418
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...