Time-varying volatility in Malaysian stock exchange: An empirical study using multiple-volatility-shift fractionally integrated model

Physica A: Statistical Mechanics and its Applications

Volumn 387, Issue 4, 2008, Pages 889-898

  Cheong, Chin Wen ^a  

^a MULTIMEDIA UNIVERSITY   (Malaysia)

Author keywords

Financial time series; Fractionally integrated; Structural change; Time varying volatility

Indexed keywords

DATABASE SYSTEMS; FINANCE; TIME VARYING CONTROL SYSTEMS;

FINANCIAL TIME SERIES; FRACTIONALLY INTEGRATED; STRUCTURAL CHANGE; TIME-VARYING VOLATILITY;

STRUCTURAL DESIGN;

EID: 36649032545     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2007.10.025     Document Type: Article

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