Analyzing MSCI global healthcare return and volatility with structural change based on residual CUSUM GARCH approach
© Springer International Publishing Switzerland 2016. This study aims to analyze the Morgan Stanley Capital International (MSCI) world return and volatility of the healthcare price index using daily time series data. Since the data of MSCI healthcare returns cannot be described by linear models, the...
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Main Authors: | Nantiworn Thianpaen, Songsak Sriboonchitta |
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Format: | Book Series |
Published: |
2018
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Subjects: | |
Online Access: | https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84952682939&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/55586 |
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Institution: | Chiang Mai University |
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