Keywords: Structural break
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Journal Articles
Journal of Advances in Management Research (2021) 18 (4): 526–547.
Published: 12 February 2021
..., the distinctions of structural break have been captured in view of the global financial crisis of 2008. Thus, the period under the study has been segregated into pre- and post-crisis, that is, January 2001–December 2008 and January 2009–December 2019, respectively. Findings The findings indicate that GARCH (1...
Journal Articles
Journal of Advances in Management Research (2017) 14 (3): 332–351.
Published: 07 August 2017
... and Andrews’ unit root test is used to examine the existence of unit root in index series in the presence of a structural break. Gregory and Hansen’s test of cointegration is employed to examine the stable long-run relationship between the indices under study. Findings The results suggest...

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