Lim, Kian-Ping; Hinich, Melvin J.; Liew, Venus Khim-Sen - In: Journal of Emerging Market Finance 4 (2005) 3, pp. 263-279
characterisation for the underlying process of all the selected Asian stock markets. Further investigation using the windowed test … stock markets. The bicorrelation test results demonstrate that this type of model cannot provide an adequate … tool to determine the adequacy of Generalised Autoregressive Conditional Heteroscedasticity (GARCH) models for eight Asian …