Modelling the volatility of the Dow Jones Islamic Market World Index using a fractionally integrated time-varying GARCH (FITVGARCH) model
Adnen Ben Nasr, Ahdi Noomen Ajmi and Rangan Gupta
| Year of publication: |
2014
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|---|---|
| Authors: | Nasr, Adnen Ben ; Ajmi, Ahdi Noomen ; Gupta, Rangan |
| Published in: |
Applied financial economics. - London : Routledge, ISSN 0960-3107, ZDB-ID 1077973-5. - Vol. 24.2014, 13/15, p. 993-1004
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| Subject: | volatility modelling | long memory | structural changes | model specification | Volatilität | Volatility | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Aktienindex | Stock index | Schätzung | Estimation | ARMA-Modell | ARMA model | Modellierung | Scientific modelling |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010415355