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Risk Management Analysis: An Empirical Study Using Bivariate GARCH
Authors: Chin Wen Cheong
Abstract:This study employs a bivariate asymmetric GARCH model to reveal the hidden dynamics price changes and volatility among the emerging markets of Thailand and Malaysian after the Asian financial crisis from January 2001 to December 2008. Our results indicated that the equity markets are sharing the common information (shock) that transmitted among each others. These empirical findings are used to demonstrate the importance of shock and volatility dynamic transmissions in the cross-market hedging and market risk.
Digital Object Identifier (DOI): doi.org/10.5281/zenodo.1334532Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF
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