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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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书目详细资料
主要作者:	Ibrahim, Mansor
格式:	Article
语言:	English
出版:	Asian Academy of Management (AAM) and Penerbit Universiti Sains Malaysia 2010
在线阅读:	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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