Yang, Yung-Lieh; Chang, Chia-Lin - In: Mathematics and Computers in Simulation (MATCOM) 79 (2008) 3, pp. 458-474
International integration of financial markets provides a channel for currency movements to affect stock prices. This paper applies a four-regime double-threshold GARCH (DTGARCH) model of stock market returns to investigate empirically the effects of daily currency movements on five stock market...