Doong, Shuh-Chyi; Yang, Sheng-Yung; Chiang, Thomas C. - In: Review of Pacific Basin Financial Markets and Policies … 08 (2005) 04, pp. 637-657
This paper examines autocorrelation and cross-autocorrelation patterns for selected Asian stock returns. Special attention is given to examination of Asian stock returns and the impact on them of the past information. By employing a class of asymmetric specification of conditional mean and...