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

John Francis Diaz (), Peh Ying Qian () and Genevieve Liao Tan ()
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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

Lahore Journal of Economics, 2018, vol. 23, issue 2, 49-68

Keywords: Greater China Region; stock market returns; volatility dynamics; MGARCH models (search for similar items in EconPapers)
JEL-codes: C30 P45 (search for similar items in EconPapers)
Date: 2018
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