This study examines whether nonlinear adjustment of short-term deviations impacts US real estate market returns by applying an exponential smooth transition threshold error-correction model with Generalized Auto Regressive Conditional Heteroscedasticity (GARCH) (ESTECM-GARCH). Empirical results...

This study investigates how foreign investors impact the Taiwanese stock market using the AutoRegressive Jump Intensity (ARJI) model proposed by Chan and Maheu (2002), in which stock volatility in Taiwan is classified as either normal or abnormal and the net purchases of foreign investors,...

This article investigates the relationship between foreign investors' trading behaviour and political election events in South Korea and the effect of the relationship on the financial markets via a bivariate GARCH (1,1) model analysis. The empirical results show that the KOSPI 200 index return...

This article investigates normal and abnormal information transmissions by examining diffusion volatility and jump intensity spillovers in China's stock markets. We analyse the impact of releasing investing restriction to information transmission mechanism, and also the interactions between 'A'...