Essays about: "Duc Hong Hoang"
Found 1 essay containing the words Duc Hong Hoang.
University essay from Lunds universitet/Nationalekonomiska institutionen
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