Volatility behavior patterns and information transmission mechanism : evidence from Malaysian futures markets

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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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Bibliographic Details
Main Author:	Ahmad, Noryati
Format:	Thesis
Language:	English
Published:	2005
Subjects:	RK1-715 Dentistry
Online Access:	http://eprints.usm.my/55067/ http://eprints.usm.my/55067/1/NORYATI%20BINTI%20AHMAD%20full24.pdf

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