This paper researches the abnormal information in the WilderHill Clean Energy Index (ECO) and NYSE Arca Technology Index (PSE) by using an autoregressive conditional jump intensity model in Skew Generalized Error Distribution (ARJI-SGED). The research period is from 3 January 2001 to 31 January...

This paper investigates the co-integration and causal relationships by threshold model and non-linear adjustments relationship by STAR model between the U.S. and Taiwan stock market. The fi ndings indicate that there exists an asymmetric threshold co-integration relationship between the U.S. and...

This study extends the threshold error-correction model of Enders and Siklos (2001) to the momentum threshold error-correction model with the dynamic conditional correlation GARCH model of Engle (2002), in order to investigate the asymmetric cointegration and causal relationships between the...

This study adopts data envelopment analysis with Tobit regression analysis to measure the efficiency and investigate the influence of corporate governance on the efficiency of the biotechnology and medical equipment industries in Taiwan. The empirical results show that while inside equity...

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...