Ben Nasr, Adnen; Lux, Thomas; Ajmi, Ahdi Noomen; Gupta, … - Institut für Volkswirtschaftslehre, … - 2014
properties of the Dow Jones Islamic Stock Market Index (DJIM) 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 …