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- W2894953427 abstract "It is commonly accepted that financial time series are affected with the present of extreme events (outliers) such as financial crisis and wars which may change the estimation parameter (breaks). These criteria need to be consider in the modelling of financial time series. However, current practice is to correct the outliers before structural breaks can be detected. This study aims to assess the joint detection of outliers and structural breaks in the ASEAN Shariah stock indices using the IIS. These detected outliers and structural breaks are then incorporate into GARCH (1,1) model to examine their impact on the estimation parameter. This study found that the estimation of GARCH (1,1) parameter improves when both of the outliers and structural breaks are taken into consideration." @default.
- W2894953427 created "2018-10-12" @default.
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- W2894953427 date "2018-01-01" @default.
- W2894953427 modified "2023-09-23" @default.
- W2894953427 title "Structural breaks and outliers in ASEAN Shariah compliant indices: The impulse indicator saturation approach" @default.
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- W2894953427 doi "https://doi.org/10.1063/1.5054253" @default.
- W2894953427 hasPublicationYear "2018" @default.
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