Stock returns and trading volume based on double-threshold models
碩士 === 逢甲大學 === 統計與精算所 === 92 === This paper examines the hypothesis that both returns and volatility respond asymmetrically to past volume and returns. The approach we adopt is based on a double threshold GARCH model. The main feature of this model is to allow the threshold nonlinearity in mean and...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2004
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| Online Access: | http://ndltd.ncl.edu.tw/handle/21239669295383854335 |