Wen Cheong, Chin; Hassan Shaari Mohd Nor, Abu; Isa, Zaidi - In: Physica A: Statistical Mechanics and its Applications 373 (2007) C, pp. 651-664
This paper investigates the asymmetry and long-memory volatility behavior of the Malaysian Stock Exchange daily data over a period of 1991–2005. The long-spanning data set enable us to examine piecewise before, during and after the economic crisis encountered in the Malaysian stock market. The...
