| Description |
1 online resource illustrations (black and white) |
| Series |
Banking, Money and International Finance Ser |
|
Banking, Money and International Finance Ser
|
| Contents |
Cover -- Half Title -- Series Page -- Title Page -- Copyright Page -- Table of Contents -- List of Figures -- List of Tables -- Foreword -- Summary and Preface -- Acknowledgements -- List of Abbreviations -- 1 Strategic Overview -- Background of the Study -- Contribution to Knowledge -- History of the Topic -- Geographical Location of the Topic -- Benefits to the Community -- Why is it Significant? -- Who is it Significant to? -- Organisation of Book -- 2 Exchange Rate Risk Management and Modelling -- Introduction -- Exchange Rate Risk and Economic Liberalisation |
|
Classical Time Series Models and Financial Series -- Exchange Rate Volatility Modelling in a Univariate Framework -- Exchange Rate Volatility Modelling in a Multivariate Framework -- Risk Management of Exchange Rate Volatility -- Conclusion -- 3 Exchange Rate Risk and Economic Liberalisation -- Introduction -- Developments in the Malaysian Exchange Rate Market -- Data Analysis of Malaysia's Exchange Rate -- Implications -- Conclusion -- 4 Volatility Modelling of Exchange Rates in a Univariate Framework -- Introduction -- Framework and Estimation Process -- Empirical Results -- Value at Risk |
|
Implications -- Conclusion -- 5 Volatility Modelling of Exchange Rates in a Multivariate Framework -- Introduction -- Framework and Estimation Process -- Estimation Processes -- Diagnostic Testing -- Implications -- Conclusion -- 6 Concluding Remarks -- Introduction -- Volatility Issues in the Exchange Rate Market -- Implications on Risk Measurement -- Implications on Risk Management -- Limitations and Areas of Further Research -- Conclusion -- Appendix 1: Foreign Exchange Changes in Malaysia on 1 April 2005 -- Appendix 2: Analysis of Monthly Exchange Rate Data |
|
Appendix 3: Forecasting Diagrams of Various GARCH Models -- MYR/USD -- MYR/GBP -- MYR/EUR -- MYR/JPY -- MYR/CHF -- Appendix 4: Forecasting Diagrams between Riskmetrics and APARCH Models -- MYR/USD -- MYR/GBP -- MYR/EUR -- MYR/JPY -- MYR/CHF -- Appendix 5: Empirical Results for Multivariate GARCH Models -- Scalar BEKK(1,1) by Engle and Kroner (1995) -- Diagonal BEKK -- Riskmetrics -- Constant Conditional Correlations by Bollerslev (1990) -- Dynamic Conditional Correlations by Tse and Tsui (2002) -- Dynamic Conditional Correlations by Engle (2002) -- Orthogonal GARCH Model |
|
GO-GARCH Model (By Van Der Wedie (2002)) -- NLS GO-GARCH Model (By Boswijk and Van Der Wedie (2006)) -- References -- Index |
| Form |
Electronic book
|
| Author |
Islam, Sardar M. N., author
|
| ISBN |
9781000172546 |
|
1000172546 |
|
