Liu, Hsiang-Hsi - In: Economic Modelling 29 (2012) 6, pp. 2724-2733
The purpose of this study is to analyze the interrelationships among the Taiwanese, Japanese and Korean TFT-LCD panel industry stock market indexes by applying a trivariate FIEC-FIGARCH model. The empirical results confirm that the FIEC-FIGARCH model can be used to capture long memory behavior...