Forecasting the volatility of the Dow Jones Islamic Stock Market Index : long memory vs. regime switching
Adnen Ben Nasr, Thomas Lux, Ahdi Noomen Ajmi, Rangan Gupta
| Year of publication: |
September 2016
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| Authors: | Nasr, Adnen Ben ; Lux, Thomas ; Ajmi, Ahdi Noomen ; Gupta, Rangan |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 45.2016, p. 559-571
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| Subject: | Islamic finance | Volatility dynamics | Long memory | Multifractals | Volatilität | Volatility | Aktienindex | Stock index | Zeitreihenanalyse | Time series analysis | Islamisches Finanzsystem | ARCH-Modell | ARCH model | Aktienmarkt | Stock market | Prognoseverfahren | Forecasting model | Schätzung | Estimation | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.iref.2016.07.014 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011626589