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Short-horizon asymmetry in conditional mean of ASEAN stock market returns

This paper describes the return patterns of six ASEAN markets(Indonesia, Malaysia, the Philippines, Singapore, Thailand, and Vietnam)using an autoregressive exponential GARCH-in mean model,also known as AR-EGARCH(1, 1)-M. Estimating the model for each market using daily data from August 2000 to May...

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書誌詳細
第一著者:	Ibrahim, Mansor
フォーマット:	論文
言語:	English
出版事項:	Asian Academy of Management (AAM) and Penerbit Universiti Sains Malaysia 2010
オンライン･アクセス:	http://psasir.upm.edu.my/id/eprint/22740/1/Short.pdf http://psasir.upm.edu.my/id/eprint/22740/ http://web.usm.my/journal/aamjaf/vol6_2_2010.html
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