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• W2289941544 abstract "This study employs bivariate ARMA(p,q)-EGARCH(p,q) model specifications investigate the effects of the Malaysian futures - cash market relationship. More specifically, it looks at whether there is information transmission process at mean and volatility level between crude palm oil futures (FCPO) market and its underlying cash market and also whether volatility transmission is asymmetric. The study covers the period from January, 1990 until December 31, 2003. Bidirectional information transmission process between FCPO and CPO is documented at mean as well as volatility levels. Findings also reveal that the volatility transmission is asymmetric in nature but the sign of asymmetric differs based on the direction of spillovers." @default.
• W2289941544 created "2016-06-24" @default.
• W2289941544 creator A5017094081 @default.
• W2289941544 creator A5029855697 @default.
• W2289941544 creator A5050817585 @default.
• W2289941544 date "2007-01-01" @default.
• W2289941544 modified "2023-09-27" @default.
• W2289941544 title "Is the Volatility Information Transmission Process between the Crude Palm Oil Futures Market and Its Underlying Instrument Asymmetric" @default.
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• W2289941544 hasPublicationYear "2007" @default.
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