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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| Format: | Thèse |
| Langue: | anglais |
| Publié: |
2005
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| Accès en ligne: | http://eprints.usm.my/55067/ |