Volatility behavior patterns and information transmission mechanism : evidence from Malaysian futures markets

Volatility behavior patterns and information transmission mechanism : evidence from Malaysian futures markets

This study employs bivariate ARMA(p,q)-EGARCH(p,q) model specifications model to investigate whether information between Malaysian futures and cash markets is transmitted through first moments or second moments or both. Using daily data, the study covers the period from January 2, 1990 until Dece...

書誌詳細
第一著者:	Ahmad, Noryati
フォーマット:	学位論文
言語:	English
出版事項:	2005
主題:	RK1-715 Dentistry
オンライン･アクセス:	http://eprints.usm.my/55067/1/NORYATI%20BINTI%20AHMAD%20full24.pdf

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