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Han-Ching Huang,Yong-Chern Su,Tze-Yi Lin
Pág. 756 - 764
This study investigates commercial bank market efficiency in financial crisis. We employ a time-varying GARCH model because volatility matters in financial crisis. The empirical results show a significant positive relation between contemporaneous order i...
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Han Ching Huang,Yong-Chern Su,Jen-Tien Tsui
Pág. 390 - 398
This paper uses four asymmetric GARCH models, which are GJR-GARCH, NA-GARCH, T-GARCH, and AV-GARCH to compare their performance on VaR forecasting to the symmetric GARCH model. In addition, we adopt four different mean equations which are ARMA(1,1), AR(1...
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Han-Ching Huang,Yong-Chern Su,Chun-Chi Shih
Pág. 591 - 601
This study investigates the convergence process toward efficiency of daily top losers. We find that significance of order imbalance coefficients decreases with increasing time interval, indicating evidences on convergence to market efficiency. A time-var...
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