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...

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书目详细资料
主要作者: Ahmad, Noryati
格式: Thesis
语言:English
出版: 2005
主题:
在线阅读:http://eprints.usm.my/55067/1/NORYATI%20BINTI%20AHMAD%20full24.pdf