Modelling the conditional variance and asymmetric response to past shocks in the Malaysian bond market
The exercise of modelling the risk and volatility of corporate bonds is undertaken through credit spreads analysis, a practice normally used in bond pricing and risk management. Despite the rapid growth of the Malaysian bond market, very few studies on the behaviour of credit spreads, and whether it...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English English |
| Published: |
University of Malaya
2015
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| Subjects: | |
| Online Access: | http://irep.iium.edu.my/43614/1/Rahman_et_al._%282015%29._Modelling_the_conditional_variance_and_asymmetric_response_to_past_shocks_in_the_Malaysia_bond_market._AJBA%2881%29%2C_1-37..pdf http://irep.iium.edu.my/43614/4/43614_modelling_the_conditional_variance_Scopus.pdf http://irep.iium.edu.my/43614/ http://ajba.um.edu.my/ |
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