Please use this identifier to cite or link to this item: https://gnanaganga.inflibnet.ac.in:8443/jspui/handle/123456789/14407
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dc.contributor.authorChin Wen Cheong-
dc.contributor.authorZaidi Isa-
dc.date.accessioned2024-03-01T08:06:22Z-
dc.date.available2024-03-01T08:06:22Z-
dc.date.issued2007-
dc.identifier.urihttp://gnanaganga.inflibnet.ac.in:8080/jspui/handle/123456789/14407-
dc.description.abstractThis 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.publisherJournal of Quantitative Economics-
dc.subjectfinancial time series-
dc.subjectstructural break-
dc.subjectlong-persistence volatility-
dc.subjectcomponent GARCH.-
dc.titleThe Impact of Structural Break to Permanent and Transitory Components of Malaysian Stock Market-
dc.volVol. 5-
dc.issuedNo. 2-
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