A Study Of Relationship Between Commodity Price And Stock Price Using Ms-Var And Ms-Vecm Models

Phoong, Seuk Wai (2015) A Study Of Relationship Between Commodity Price And Stock Price Using Ms-Var And Ms-Vecm Models. PhD thesis, Universiti Sains Malaysia.

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Abstract

Siri masa kewangan dan ekonomi sentiasa menunjukkan kelakuan tidak pegun seperti ketidakseimbangan dan pertukaran rejim. Pertukaran data dan data lompat adalah kebiasaan dalam model siri masa. Financial and economic time series always show nonlinear properties such as asymmetry and regime switching. Structural change as well as break is often reported in the series.

Item Type: Thesis (PhD)
Subjects: Q Science > QA Mathematics > QA1 Mathematics (General)
Divisions: Pusat Pengajian Sains Matematik (School of Mathematical Sciences)
Depositing User: Mr Firdaus Mohamad
Date Deposited: 04 Jan 2017 02:00
Last Modified: 12 Apr 2019 05:25
URI: http://eprints.usm.my/id/eprint/31376

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