This paper investigates the asymmetry and long-memory volatility behavior of the Malaysian Stock Exchange daily data over a period of 1991–2005. The long-spanning data set enable us to examine piecewise before, during and after the economic crisis encountered in the Malaysian stock market. The...

This paper examines the long run Granger causality relationship between economic growth, carbon dioxide emissions and energy consumption from 1971 to 2007 in Indonesia, controlling for capital stock and urban population. Using Toda–Yamamoto (TY) procedure, it has been found that there was no...

This study investigates the time-varying volatility of two major crude oil markets, the West Texas Intermediate (WTI) and Europe Brent. A flexible autoregressive conditional heteroskedasticity (ARCH) model is used to take into account the stylized volatility facts such as clustering volatility,...

This article investigated the influences of structural breaks on the fractionally integrated time-varying volatility model in the Malaysian stock markets which included the Kuala Lumpur composite index and four major sectoral indices. A fractionally integrated time-varying volatility model...

This research investigates long memory financial equity markets using three heuristic methodologies namely a proposed modified variance time-aggregated plot, modified rescaled-range plot and periodogram approaches. The intensity of the long memory process is quantified in terms of Hurst...

This study introduces a technique to estimate the Pareto distribution of the stock exchange index by using the maximum-likelihood Hill estimator. Recursive procedures based on the goodness-of-fit statistics are used to determine the optimal threshold fraction of extreme values to be included in...