Essays about: "Duc Hong Hoang"

Found 1 essay containing the words Duc Hong Hoang.

  1. 1. The effects of macroeconomic variables on Asian stock market volatility: A GARCH MIDAS approach

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Duc Hong Hoang; [2015]
    Keywords : China; South Korea; Japan; volatility; GARCH MIDAS; inflation; industrial production; oil price shocks; Business and Economics;

    Abstract : This paper aims to investigate the effects of macroeconomic variables on stock market volatility in three Asian countries by applying GARCH MIDAS model. The study covers the period from 01/2003 to 06/2014. The GARCH MIDAS framework allows to incorporate macro variables directly in the model and obtain long-term and short-term volatility separately. READ MORE