This paper examines the hypothesis that both stock returns and volatility are asymmetrical functions of past information derived from domestic and US stock-market news. By employing a double-threshold regression GARCH model to investigate four major index-return series, we find significant...

This paper examines the hypothesis that both stock returns and volatility are asymmetric functions of past information derived from domestic and U.S. stock-market news. The results show the presence of negative autocorrelation, which is consistent with the dominance of positive-feedback trading...

In high dimensional data, relevant interactions can be difficult to identify due to the extremely large number of possible interactions among variables. Conventional methods use a screening stage to vastly reduce the dimension of the variable space before examining the interaction effect....

With the regulatory requirements for risk management, Value at Risk (VaR) has become an essential tool in determining capital reserves to protect the risk induced by adverse market movements. The fact that VaR is not coherent has motivated the industry to explore alternative risk measures like...

This paper proposes a new clustered correlation multivariate GARCH model (CC-MGARCH) that allows conditional correlations to form clusters. This model can generalize the time-varying correlation structure in Tse and Tsui (2002) by determining a natural grouping of the correlations among the...

This paper proposes a threshold multivariate GARCH model (Threshold MGARCH) which integrates threshold nonlinearity, mean and volatility asymmetries and time-varying correlation in financial markets. The main feature of this model is that the threshold variables are formulated as average or...

Constructing multivariate conditional distributions for non-Gaussian return series has been a major research agenda recently. Copula GARCH models combine the use of GARCH models and a copula function to allow flexibility on the choice of marginal distributions and dependence structures. However,...

This paper studies a threshold extreme value distribution for modeling standardized financial returns. The main theme is tail asymmetry, which means that the left and right tails of the standardized return distribution are not identical. The peak-over-threshold idea in extreme value theory is...

This paper examines the hypothesis that both stock returns and volatility are asymmetrical functions of past information derived from domestic and US stock market news. By employing a double-threshold regression GARCH model to investigate four major index return series, we find significant...