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Discovering Structure Breaks in Amman Stocks Market

AL WADI, SADDAM and ISMAIL, M TAHIR and ABDUL KARIM, SAMSUL ARIFFIN (2010) Discovering Structure Breaks in Amman Stocks Market. UTP, International Conference on Fundamental and Applied Science. 15-17 June 2010. . ISBN (ISBN: 978-983-2271-19-2)

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Abstract

Abstract-One of the main features in financial and economic time series data that trigger attention from researchers is regime shifts or structure breaks. Usually structure breaks occur because of abrupt of change in the government policy, financial and economic crisis and political instability. In recent years wavelet transform becomes more popular in the financial time series analysis and it has better advantages than the other filtering methods such as the traditional technique Fourier transform. In this paper we use discrete wavelet transform (DWT) via Daubechies function and Fast Fourier transform (FFT) to capture the possibility of regime shifts or structure breaks. The main objective is to detect precisely the changes in the behavior of the Amman stocks market (Jordan) from December 1998 until July 2009. We also discuss the advantages and disadvantages between both methods.

Item Type:Book
Subjects:Q Science > Q Science (General)
Q Science > QA Mathematics > QA75 Electronic computers. Computer science
Departments / MOR / COE:Departments > Fundamental & Applied Sciences
ID Code:3936
Deposited By: Samsul Ariffin Abdul Karim
Deposited On:12 Jan 2011 09:24
Last Modified:19 Jan 2017 08:23

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