An investigation of structural breaks on spot and futures crude palm oil returns

• Main Authors: Zainudin, Rozaimah, Shaharudin, Roselee Shah
• Format: Article
• Published: American-Eurasian Network for Scientific Information, Jordan 2011
• Subjects: HF Commerce
• Online Access: http://eprints.um.edu.my/23011/; http://www.ajbasweb.com/old/ajbas/2011/September-2011/1872-1885.pdf
• Institution: Universiti Malaya

The implications of omitting structural break in volatility clustering modelling process are largely discussed in various developed macroeconomic and finance variables. The empirical evidence highlights the importance of this structural break in modelling process that gives a more accurate volatilit...