Herwany, Aldrin; Febrian, Erie - Center for Economics and Development Studies, Fakultas … - 2009
capital markets, for both risk management and portfolio selection purposes. Researchers frequently use co-integration and …, they conducted the causality in mean tests but not the causality in variance tests. This study assesses the co-integration … investigating unit roots, co-integration, time-varying volatility, and causality in variance. For estimating portfolio market risk …