Analyzing MSCI global healthcare return and volatility with structural change based on residual CUSUM GARCH approach

• المؤلفون الرئيسيون: Nantiworn Thianpaen, Songsak Sriboonchitta
• التنسيق: Book Series
• منشور في: 2018
• الموضوعات: Computer Science
• الوصول للمادة أونلاين: https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84952682939&origin=inward; http://cmuir.cmu.ac.th/jspui/handle/6653943832/55586

© 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...