Oil price risk in selected ASEAN markets
This paper analyzes the oil price risk in four ASEAN markets using a two-factor "market and oil" model and EGARCH(1, 1) variance specification. In the analysis, three alternative non-linear measures of oil prices are used and robustness check of basic results is also performed. The resu...
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| Format: | Article |
| Language: | English |
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Penerbit Universiti Kebangsaan Malaysia
2014
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| Online Access: | http://journalarticle.ukm.my/7803/ http://journalarticle.ukm.my/7803/1/00000002.PDF |