A new approach for istijrar valuation under stochastic volatility

A new approach for istijrar valuation under stochastic volatility

By employing VECM, Indonesia denotes that monetary policy shock in the short term stimulates significant shocks in the long term, whereas Malaysia experienced a stability trend showed by soft movement in the short term. As for Sudan, by employing VAR since no cointegration, it has a similar patte...

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Bibliographic Details
Main Authors: Bayram, Kamola, Ganikhodjaev, Nasir
Format: Conference or Workshop Item
Language:English
English
English
Published: Islamic Business School, UUM, Kedah 2014
Subjects:
HG Finance
Online Access:http://irep.iium.edu.my/39395/
http://irep.iium.edu.my/39395/1/ISBN_IBMC_2014.pdf
http://irep.iium.edu.my/39395/2/Proceeding_Full_Paper_no.35-50_.pdf
http://irep.iium.edu.my/39395/7/Nasir_paper_IBMC_2014.pdf
id iium-39395
recordtype eprints
spelling iium-393952018-06-11T02:48:07Z http://irep.iium.edu.my/39395/ A new approach for istijrar valuation under stochastic volatility Bayram, Kamola Ganikhodjaev, Nasir HG Finance By employing VECM, Indonesia denotes that monetary policy shock in the short term stimulates significant shocks in the long term, whereas Malaysia experienced a stability trend showed by soft movement in the short term. As for Sudan, by employing VAR since no cointegration, it has a similar pattern with that of Malaysia indicated by IRF result. The short term analysis shows that monetary policy shock would lead to stability in the long run, although it shocked temporary except for exchange rate, which is set up to be resilient for any shock and stable in the short term as well as long term. Islamic Business School, UUM, Kedah 2014-11 Conference or Workshop Item PeerReviewed application/pdf en http://irep.iium.edu.my/39395/1/ISBN_IBMC_2014.pdf application/pdf en http://irep.iium.edu.my/39395/2/Proceeding_Full_Paper_no.35-50_.pdf application/pdf en http://irep.iium.edu.my/39395/7/Nasir_paper_IBMC_2014.pdf Bayram, Kamola and Ganikhodjaev, Nasir (2014) A new approach for istijrar valuation under stochastic volatility. In: Islamic Business Management Conference (IBMC) 2014, 18th – 19th August 2014, Kuala Lumpur, Malaysia.
repository_type Digital Repository
institution_category Local University
institution International Islamic University Malaysia
building IIUM Repository
collection Online Access
language English
English
English
topic HG Finance
spellingShingle HG Finance
Bayram, Kamola
Ganikhodjaev, Nasir
A new approach for istijrar valuation under stochastic volatility
description By employing VECM, Indonesia denotes that monetary policy shock in the short term stimulates significant shocks in the long term, whereas Malaysia experienced a stability trend showed by soft movement in the short term. As for Sudan, by employing VAR since no cointegration, it has a similar pattern with that of Malaysia indicated by IRF result. The short term analysis shows that monetary policy shock would lead to stability in the long run, although it shocked temporary except for exchange rate, which is set up to be resilient for any shock and stable in the short term as well as long term.
format Conference or Workshop Item
author Bayram, Kamola
Ganikhodjaev, Nasir
author_facet Bayram, Kamola
Ganikhodjaev, Nasir
author_sort Bayram, Kamola
title A new approach for istijrar valuation under stochastic volatility
title_short A new approach for istijrar valuation under stochastic volatility
title_full A new approach for istijrar valuation under stochastic volatility
title_fullStr A new approach for istijrar valuation under stochastic volatility
title_full_unstemmed A new approach for istijrar valuation under stochastic volatility
title_sort new approach for istijrar valuation under stochastic volatility
publisher Islamic Business School, UUM, Kedah
publishDate 2014
url http://irep.iium.edu.my/39395/
http://irep.iium.edu.my/39395/1/ISBN_IBMC_2014.pdf
http://irep.iium.edu.my/39395/2/Proceeding_Full_Paper_no.35-50_.pdf
http://irep.iium.edu.my/39395/7/Nasir_paper_IBMC_2014.pdf
first_indexed 2023-09-18T20:56:36Z
last_indexed 2023-09-18T20:56:36Z
_version_ 1777410346147905536

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