We study the first-order bifurcating autoregressive process Xt=ϕX⌊t/2⌋+ϵt with Weibull innovations. Using point process technique, we estimate the model parameter ϕ and the tail index α in the Weibull distribution and obtain the joint limit distribution of estimators.

Purpose – The purpose of this paper is to empirically evaluate the wealth and credit‐price effects in the relations between housing prices and stock prices for Thailand using quarterly data from 1995 to 2006. Design/methodology/approach – The analysis relies on a four‐variable vector...

Purpose – The purpose of this paper is to provide empirical evidences on the impact of financial shocks on the Islamic banks vis‐a‐vis the conventional banks. Based on the Malaysian experience over two major financial crises, namely the 1997 Asian financial crisis and 2007 financial...

Purpose – The purpose of this paper is to provide empirical evidences on the impact of financial shocks on the Islamic banks vis-a-vis the conventional banks. Based on the Malaysian experience over two major financial crises, namely the 1997 Asian financial crisis and 2007 financial crisis,...

Purpose – The purpose of this paper is to explore the extent to which macroeconomic variables affect the Islamic stock market behavior in Malaysia in the post 1997 financial crisis period. Design/methodology/approach – The paper employs the latest estimation technique of autoregressive...

Purpose – The purpose of this paper is to explore the extent to which macroeconomic variables affect the Islamic stock market behavior in Malaysia in the post 1997 financial crisis period. Design/methodology/approach – The paper employs the latest estimation technique of autoregressive...

Purpose – The purpose of this paper is to monitor small shifts in the process mean and/or variance for which observational data meet significant autocorrelation. Design/methodology/approach – A generally weighted moving average (GWMA) control chart for monitoring a process is introduced in...

This paper analyzes the effect of overdifferencing a stationary AR(p+1) process whoselargest root is near unity. It is found that if the process is nearly nonstationary, the estimators ofthe overdifferenced model ARIMA (p, 1, 0) are root-T consistent. It is also found that thismisspecified ARIMA...