Estimation of dynamic conditional correlations of Shariah-compliant stock indices through the application of multivariate GARCH approach
A major issue in both Islamic finance and conventional finance is whether the shocks to the volatilities in the asset returns are substitutes or complements in terms of taking risk. An understanding of how volatilities of and correlations between asset returns change over time including their direct...
Saved in:
Main Authors: | Saiti, Buerhan, Bacha, Obiyathulla Ismath, Masih, Mansur |
---|---|
Format: | Article |
Language: | English English |
Published: |
INSI Publications
2013
|
Subjects: | |
Online Access: | http://irep.iium.edu.my/44500/1/259-267.pdf http://irep.iium.edu.my/44500/4/AJBAS_5_259-267.pdf http://irep.iium.edu.my/44500/ http://ajbasweb.com/old/ajbas_may_2013.html |
Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Similar Items
-
Estimation of Dynamic Conditional Correlations of Shariah-Compliant Stock Indices through the Application of Multivariate GARCH Approach
by: Buerhan Saiti, et al.
Published: (2014) -
Integration between the conventional and Islamic stock indices with the US stock market: evidence from cointegration analysis
by: Saiti, Buerhan
Published: (2014) -
Stock market screening: An analogical study on conventional and shariah-compliant stock markets
by: Zandi, Gholamreza Reza, et al.
Published: (2014) -
Daily returns seasonality and impact of stock index futures: evidence from the Kuala Lumpur Stock Exchange
by: Mohamad, Azhar, et al.
Published: (2003) -
Daily returns seasonality and impact of stock index futures: evidence from the Kuala Lumpur Stock Exchange
by: Mohamad, Azhar, et al.
Published: (2003)