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DC Field | Value | Language |
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dc.contributor.author | Chin Wen Cheong | - |
dc.contributor.author | Zaidi Isa | - |
dc.date.accessioned | 2024-03-01T08:06:22Z | - |
dc.date.available | 2024-03-01T08:06:22Z | - |
dc.date.issued | 2007 | - |
dc.identifier.uri | http://gnanaganga.inflibnet.ac.in:8080/jspui/handle/123456789/14407 | - |
dc.description.abstract | This article studied the time-varying volatility, components features of volatility, non-normality and leverage effect of Malaysian stock market under the structural breaks. A modified threshold two-components autoregressive conditional heteroscedasticity (ARCH) model with sudden structural changes is developed to account for all the possible stylized facts simultaneously. | - |
dc.publisher | Journal of Quantitative Economics | - |
dc.subject | financial time series | - |
dc.subject | structural break | - |
dc.subject | long-persistence volatility | - |
dc.subject | component GARCH. | - |
dc.title | The Impact of Structural Break to Permanent and Transitory Components of Malaysian Stock Market | - |
dc.vol | Vol. 5 | - |
dc.issued | No. 2 | - |
Appears in Collections: | Articles to be qced |
Files in This Item:
File | Size | Format | |
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The Impact of Structural Break to Permanent.pdf | 3.93 MB | Adobe PDF | View/Open |
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