Long memory forecasting of yield spreads using a fractionally integrated ARMA model and its application in Islamic capital market
Issam Bousalam and Moustapha Hamzaoui
| Year of publication: |
2017
|
|---|---|
| Authors: | Bousalam, Issam ; Hamzaoui, Moustapha |
| Published in: |
International journal of bonds and derivatives. - Olney : Inderscience, ISSN 2050-2281, ZDB-ID 2765392-4. - Vol. 3.2017, 1, p. 71-92
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| Subject: | long memory | ARFIMA model | Sukuk | yield spreads analysis | YSA | Islamic indexes | Zeitreihenanalyse | Time series analysis | ARMA-Modell | ARMA model | Zinsstruktur | Yield curve | Islamisches Finanzsystem | Islamic finance | Kapitaleinkommen | Capital income | Anleihe | Bond | Prognoseverfahren | Forecasting model | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1504/IJBD.2017.10004736 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011807765