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The square compass rose: the evidence from Taiwan

  • An-Sing Chen
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    File URL: http://www.sciencedirect.com/science/article/B6VGV-3SX1N57-3/2/760ee62580e1036eaba70b1c308530bd
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    Article provided by Elsevier in its journal Journal of Multinational Financial Management.

    Volume (Year): 7 (1997)
    Issue (Month): 2 (June)
    Pages: 127-144

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    Handle: RePEc:eee:mulfin:v:7:y:1997:i:2:p:127-144
    Contact details of provider: Web page: http://www.elsevier.com/locate/mulfin

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    1. Diebold, Francis X & Nerlove, Marc, 1989. "The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor Arch Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 4(1), pages 1-21, Jan.-Mar..
    2. French, Kenneth R. & Schwert, G. William & Stambaugh, Robert F., 1987. "Expected stock returns and volatility," Journal of Financial Economics, Elsevier, vol. 19(1), pages 3-29, September.
    3. Hsieh, David A, 1991. " Chaos and Nonlinear Dynamics: Application to Financial Markets," Journal of Finance, American Finance Association, vol. 46(5), pages 1839-77, December.
    4. Baumol, William J & Benhabib, Jess, 1989. "Chaos: Significance, Mechanism, and Economic Applications," Journal of Economic Perspectives, American Economic Association, vol. 3(1), pages 77-105, Winter.
    5. Thomas H. McCurdy & Ieuan G. Morgan, 1986. "Tests of the Martingale Hypothesis for Foreign Currency Futures with Time-Varying Volatility," Working Papers 663, Queen's University, Department of Economics.
    6. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
    7. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
    8. Milhoj, Anders, 1987. "A Conditional Variance Model for Daily Deviations of an Exchange Rate," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(1), pages 99-103, January.
    9. Huang, Roger D & Stoll, Hans R, 1994. "Market Microstructure and Stock Return Predictions," Review of Financial Studies, Society for Financial Studies, vol. 7(1), pages 179-213.
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