Examining the Volatility of Taiwan Stock Index, Dow Jones, and Nikkei Market Returns via a Three-Volatility-Regime Markov-Switching ARCH Model

Li, Ming-YuanMing-YuanLiLin, Hsiou-wei W.Hsiou-wei W.Lin2008-10-222018-06-292008-10-222018-06-292003http://ntur.lib.ntu.edu.tw//handle/246246/84721application/pdf510783 bytesapplication/pdfen-USExamining the Volatility of Taiwan Stock Index, Dow Jones, and Nikkei Market Returns via a Three-Volatility-Regime Markov-Switching ARCH Modeljournal articlehttp://ntur.lib.ntu.edu.tw/bitstream/246246/84721/1/12.pdf