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Three Applications of Time-Varying Parameter and Stochastic Volatility Models to the Malaysian and Australian Economy

Poon, Aubrey

Description

After the introductory chapter, this thesis comprises of three chapters that examines the application of time-varying parameter and stochastic volatility models to the Malaysian and Australian economy. Chapter 2 aims to determine whether the propagation and transmission mechanism of Malaysian monetary policy differed during the Asian Financial Crisis of 1997/98 and the Global Financial Crisis of 2007/08. The methodology employs a time-varying...[Show more]

CollectionsOpen Access Theses
Date published: 2017
Type: Thesis (PhD)
URI: http://hdl.handle.net/1885/118728
DOI: 10.25911/5d6e50507e8f4

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