Nonlinear Smooth Transition Autoregressive (STAR)–type modelling and forecasting on Malaysia Airlines (MAS) stock returns

Nonlinear Smooth Transition Autoregressive (STAR)–type modelling and forecasting on Malaysia Airlines (MAS) stock returns

This study aims to apply nonlinear Smooth Transition Autoregressive (STAR)-type model to the Malaysia Airlines (MAS) Stock Returns, which consists of 4450 number of observations. The data taken started from 29th August 1996 until 26th September 2014. Following the STAR strategies by Terasvirta, the...

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Bibliographic Details
Main Authors: Mohd. Nor, Siti Rohani, Yusof, Fadhilah, Kane, Ibrahim Lawal
Format: Article
Language:English
Published: Penerbit UTM Press 2015
Subjects:
QA Mathematics
Online Access:http://eprints.utm.my/id/eprint/56159/1/FadhilahYusof2015_NonlinearSmoothTransitionAutoregressive%28STAR%29Type.pdf
http://eprints.utm.my/id/eprint/56159/
http://dx.doi.org/10.11113/jt.v74.4883
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Institution: Universiti Teknologi Malaysia
Language: English

Internet

http://eprints.utm.my/id/eprint/56159/1/FadhilahYusof2015_NonlinearSmoothTransitionAutoregressive%28STAR%29Type.pdf
http://eprints.utm.my/id/eprint/56159/
http://dx.doi.org/10.11113/jt.v74.4883

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