Time-varying volatility in Malaysian stock exchange: An empirical study using multiple-volatility-shift fractionally integrated model
Year of publication: |
2008
|
---|---|
Authors: | Cheong, Chin Wen |
Published in: |
Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 387.2008, 4, p. 889-898
|
Publisher: |
Elsevier |
Subject: | Fractionally integrated | Time-varying volatility | Structural change | Financial time series |
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