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Variance Persistence in the Greater China Region: A Multivariate GARCH Approach

Author

Listed:
  • John Francis Diaz

    (PhD, CEA, Associate Professor, Department of Finance & Department of Accounting, College of Business, Chung Yuan Christian University, Chung-Li, Taiwan. di.jian@cycu.edu.tw;Johnfrancis_diaz@yahoo.com)

  • Peh Ying Qian

    (IMBA, International Master of Business Administration Program, College of Business, Chung Yuan Christian University, Chung-li City, Taiwan. iris08138@gmail.com)

  • Genevieve Liao Tan

    (IMBA, International Master of Business Administration Program, College of Business, Chung Yuan Christian University, Chung-li City, Taiwan. gen_liaotan@yahoo.com)

Abstract

No abstract is available for this item.

Suggested Citation

  • John Francis Diaz & Peh Ying Qian & Genevieve Liao Tan, 2018. "Variance Persistence in the Greater China Region: A Multivariate GARCH Approach," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 23(2), pages 49-68, July-Dec.
    • Handle: RePEc:lje:journl:v:23:y:2018:i:2:p:49-68
    as

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    File URL: http://lahoreschoolofeconomics.edu.pk/EconomicsJournal/Journals/Volume%2023/Issue%202/03%20John,%20Qian%20and%20Tan.pdf
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Greater China Region; stock market returns; volatility dynamics; MGARCH models;
    All these keywords.

    JEL classification:

    • C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
    • P45 - Political Economy and Comparative Economic Systems - - Other Economic Systems - - - International Linkages

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