Modelling the conditional variance and asymmetric response to past shocks in the Malaysian bond market

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Modelling the conditional variance and asymmetric response to past shocks in the Malaysian bond market

The exercise of modelling the risk and volatility of corporate bonds is undertaken through credit spreads analysis, a practice normally used in bond pricing and risk management. Despite the rapid growth of the Malaysian bond market, very few studies on the behaviour of credit spreads, and whether it...

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Bibliographic Details
Main Authors:	Rahman, Maya Puspa, Omar, Mohd. Azmi, Kassim, Salina
Format:	Article
Language:	English English
Published:	University of Malaya 2015
Subjects:	HG4501 Stocks, investment, speculation
Online Access:	http://irep.iium.edu.my/43614/ http://irep.iium.edu.my/43614/1/Rahman_et_al._%282015%29._Modelling_the_conditional_variance_and_asymmetric_response_to_past_shocks_in_the_Malaysia_bond_market._AJBA%2881%29%2C_1-37..pdf http://irep.iium.edu.my/43614/4/43614_modelling_the_conditional_variance_Scopus.pdf

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