Nasr, Adnen Ben; Lux, Thomas; Ajmi, Ahdi Noomen; Gupta, … - 2014
prop- erties of the Dow Jones Islamic Stock Market Index (DJIM) and ex- plore 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 …