Interrelationships among the Taiwanese, Japanese and Korean TFT-LCD panel industry stock market indexes: An application of the trivariate FIEC–FIGARCH model
Year of publication: |
2012
|
---|---|
Authors: | Liu, Hsiang-Hsi |
Published in: |
Economic Modelling. - Elsevier, ISSN 0264-9993. - Vol. 29.2012, 6, p. 2724-2733
|
Publisher: |
Elsevier |
Subject: | Long memory | FIEC-FIGARCH model | Spillover effects | Fractional cointegration |
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