| dc.contributor.author | Chin, Wen Cheong | |
| dc.date.accessioned | 2010-11-28T02:32:13Z | |
| dc.date.available | 2010-11-28T02:32:13Z | |
| dc.date.issued | 2010-06-02 | |
| dc.identifier.citation | Vol.4(11), p.407-412 | en_US |
| dc.identifier.uri | http://dspace.unimap.edu.my/123456789/10331 | |
| dc.description | 1st Regional Conference on Applied and Engineering Mathematics (RCAEM-I) 2010 organized by Universiti Malaysia Perlis (UniMAP) and co-organized by Universiti Sains Malaysia (USM) & Universiti Kebangsaan Malaysia (UKM), 2nd - 3rd June 2010 at Eastern & Oriental Hotel, Penang. | en_US |
| dc.description.abstract | This study examines the transmission of price
changes and volatility among the Malaysian
economic barometer (FTSE Bursa Malaysia
Kuala Lumpur Composite Index-FBMKLCI) and
four sectoral markets after the Asian financial
crisis. In order to reveal the hidden dynamics of
interactions among the sectoral markets, the
pair-wise markets which consist of CI-IND, CIPLN,
CI-PRP and CI-FIN are evaluated using a
bivariate asymmetric BEKK model. The major
intension of this study focuses on the crossmarket
hedging and market risk evaluations in
term of shocks and volatility. | en_US |
| dc.language.iso | en | en_US |
| dc.publisher | Universiti Malaysia Perlis (UniMAP) | en_US |
| dc.relation.ispartofseries | Proceedings of the 1st Regional Conference on Applied and Engineering Mathematics (RCAEM-I) 2010 | en_US |
| dc.subject | Multivariate ARCH | en_US |
| dc.subject | Structural change | en_US |
| dc.subject | Value at risk | en_US |
| dc.subject | Regional Conference on Applied and Engineering Mathematics (RCAEM) | en_US |
| dc.title | Cross-markets risk management analysis in the emerging Malaysian sectoral markets | en_US |
| dc.type | Working Paper | en_US |
| dc.publisher.department | Institut Matematik Kejuruteraan | en_US |
| dc.contributor.url | wcchin@mmu.edu.my | en_US |
