Nasr, Adnen Ben; Lux, Thomas; Ajmi, Ahdi N.; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2014
properties of the Dow Jones Islamic Finance (DJIM) index and explore its volatility dynamics using a number of up …-to-date statistical models allowing for long memory and regime-switching dynamics. We find that the DJIM shares all stylized facts of …