Asian stock markets analysis: The new evidence from time-varying coefficient autoregressive model

• المؤلفون الرئيسيون: Napon Hongsakulvasu, Asama Liammukda
• التنسيق: دورية
• منشور في: 2020
• الموضوعات: Business, Management and Accounting; Economics, Econometrics and Finance
• الوصول للمادة أونلاين: https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85091818447&origin=inward; http://cmuir.cmu.ac.th/jspui/handle/6653943832/70293
• المؤسسة: Chiang Mai University

© The Author(s). In financial economics studies, the autoregressive model has been a workhorse for a long time. However, the model has a fixed value on every parameter and requires the stationarity assumptions. Time-varying coefficient autoregressive model that we use in this paper offers some desir...