This paper addresses the question whether the Islamic indexes are more or less affected by sudden changes in volatility regimes than the “conventional” counterparts. For that purpose, we apply an iterative cumulative sum of squares (ICSS) algorithm to identify structural breaks in the...

We determine the events that cause large shocks in volatility of the DJIA index over the period 1928–2013, using a new semi-parametric test based on conditional heteroscedasticity models. We find that these large shocks can be associated with particular events (financial crashes, elections,...