Ditemukan 2 dokumen yang sesuai dengan query
Frankel, Jeffrey A.
San Francisco : Center for Pacific Basin Monetary and Economic Studies Economic Research Department Federal Reserve Bank of San Francisco , 1995
343.074 6 FRA n
Buku Teks Universitas Indonesia Library
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ABSTRAK
Structural change in the volatility of five Asian and U.S. stock markets is examined during the post-liberalization period (1990-2005) of Asian financial markets using the Sup-LM test. Four Asian financial markets (Korea, Japan, Hong Kong, and Singapore) experienced structural changes. However, test results do not support the structural changes in volatility for Thailand and the U.S. Also, the empirical results show that the GARCH persistent coefficients tend to increase while the ARCH impact coefficients ...
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Seoul: Hanyang Economic Research Institute , {s.a}
330 JER
Majalah, Jurnal, Buletin Universitas Indonesia Library
