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

Poon, Aubrey


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)
DOI: 10.25911/5d6e50507e8f4


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