This study constructs a variety of GARCH models with the consideration of the generalized error distribution to analyze the relationship between the cloud cover and stock returns in Taiwan in the whole sample period (1986 to 2007) and in the two sub-sample periods (1986 to 1996 and 1997 to...

This study uses the unexpected stock return as the threshold variable to proxy for the business cycle and construct the threshold vector error correction model (TVECM) to examine whether an asymmetric causal relationship exists between the housing return and four macroeconomic variables, namely,...

This study revises the original Current Depth of Recession (CDR) to prove that the Modified CDR (MCDR) is more suitable as a threshold variable than the CDR. We rebuild the CDR indicator and adjust its positive and negative ranges with the estimation results of the Threshold Autoregressive (TAR)...

This study constructs a variety of GARCH models with the consideration of the generalized error distribution to analyze the relationship between the cloud cover and stock returns in Taiwan in the whole sample period (1986 to 2007) and in the two sub-sample periods (1986 to 1996 and 1997 to...

This study examines the short-run and long-run inflation hedging effectiveness of gold in the United States and Japan during the period of January 1971 to January 2010. Previous research has shown in the long-run that inflation tends to appropriately increase the price of gold in the U.S.,...

This study constructs a variety of GARCH models with the consideration of the generalized error distribution to analyze the relationship between the cloud cover and stock returns in Taiwan in the whole sample period (1986 to 2007) and in the two sub-sample periods (1986 to 1996 and 1997 to...

In this article, we examine whether gold could be an exchange rate hedge in Japan, using data from 1986 to 2007. In the literature on this area, most research focuses on the linear relationship--rather than the non-linear one--between gold returns and the exchange rate fluctuation of the...

Using the asymmetric threshold cointegration test proposed by Enders and Siklos [Enders, W., Siklos, P., 2001. Cointegration and threshold adjustment. Journal of Business and Economic Statistics 19, 166-176] and the EC-EGARCH (1, 1)-M model, this study examines the interest rate pass-through...