References 


Banz, R. (1981), The relationship between return and market value of common stocks, Journal of Financial Economics, 9(1), 3-18.

Bollerslev, T. (1986), Generalized autoregressive conditional heteroskedasticity, Journal of Econometrics, 31(3), 307-327.

Brooks, C. (2008), Introductory Econometrics for Finance, CUP.

Chang, C.-L., H.-K. Hsu and M. McAleer (2013), Is small beautiful? Size effects of volatility spillovers for firm performance and exchange rates in tourism, to appear in North American Journal of Economics and Finance.

Chang, C.-L., Huang, B.-W., Chen, M.-G. and McAleer, M. (2011), Modelling the asymmetric volatility in hog prices in Taiwan: The impact of joining the WTO, Mathematics and Computers in Simulation, 81(7), 1491-1506.

Chang, C.-L., Khamkaew, T. and McAleer, M. (2012), IV estimation of a panel threshold model of tourism specialization and economic development, Tourism Economics, 18(1), 5-41.

Chang, C.-L., M. McAleer and R. Tansuchat (2013), Conditional correlations and volatility spillovers between crude oil and stock index returns, North American Journal of Economics and Finance, 25, 116-138.

Cohen, W.M. (2010), Fifty years of empirical studies of innovative activity and performance, Handbook of the Economics of Innovation, 1, 129-213.

Engle, R.F. (1982), Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation, Econometrica, 50, 987-1007.

Engle, R.F., Lilien, D.M. and Robins, R.P. (1987), Estimating time varying risk premia in the term structure: The ARCH-M model, Econometrica, 55(2), 391-407.

Gay, G.D. and Nam, J. (1998), The underinvestment problem and corporate derivatives use, Financial Management, 53-69.

Glosten, L.R., Jagannathan, R. and Runkle, D.E. (1993), On the relation between the expected value and the volatility of the nominal excess return on stocks, Journal of Finance, 48, 1779-1801.

Hansen, G.S. and B. Wernerfelt (1989), Determinants of firm performance: The relative importance of economic and organizational factors, Strategic Management Journal, 10(5), 399-411.

Hammoudeh, S., P. Araujo Santos and A. Al-Hassan (2013), Downside risk management and VaR-based optimal portfolios for precious metals, oil and stocks, North American Journal of Economics and Finance, 25, 318-334. 

Hammoudeh, S. and M. McAleer (2013), Risk management and financial derivatives: An overview, North American Journal of Economics and Finance, 25, 109-115.

Hawawini, G., Subramanian, V. and Verdin, P. (2003), Is performance driven by industry‐or firm‐specific factors? A new look at the evidence, Strategic Management Journal, 24(1), 1-16.

Hsu, H.N., Wang, Y.P. and Hung, C. (2011), The decomposition, trend and influence factors of the volatility of the components of Taiwan stock market, Web Journal of Chinese Management Review, 14(2).

Kato, K. and Schallheim, J.S. (1985), Seasonal and size anomalies in the Japanese stock market, CUP.

Lin, C.H., Liu, V.W. and Wu, C.S. (1999), A study of behaviour of volatility of stock return in Taiwan OTC stock market, Department of Business Administration, National Taipei University, 44, 165-192.

Ling, S. and McAleer, M. (2003), Asymptotic theory for a vector ARMA-GARCH model, Econometric Theory, 19(2), 280-310.

Liu, L.-M. (2006), Time Series Analysis and Forecasting (second ed.), Scientific Computing Associates Corp.

McAleer, M., Chan, F. and Marinova, D. (2007), An econometric analysis of asymmetric volatility: Theory and application to patents, Journal of Econometrics, 139(2), 259-284.

McAleer, M., Hoti, S. and Chan, F. (2009), Structure and asymptotic theory for multivariate asymmetric conditional volatility, Econometric Reviews, 28(5), 422-440.

Mehran, H. (1995), Executive compensation structure, ownership, and firm performance, Journal of Financial Economics, 38(2), 163-184.

Nelson, D.B. (1991), Conditional heteroskedasticity in asset returns: A new approach, Econometrica, 347-370.

Tufano, P. (1996), Who manages risk? An empirical examination of risk management practices in the gold mining industry, Journal of Finance, 51(4), 1097-1137.