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Forecasting the volatility of the Dow Jones Islamic Stock Market Index : long memory vs. regime switching

Nasr, Adnen Ben; Lux, Thomas; Ajmi, Ahdi Noomen; Gupta, … - 2014

under the majority of time horizons and loss criteria. Long memory GARCH-type models always improve upon the short …-memory GARCH specification and additionally allowing for regime changes can further improve their performance. …

Persistent link: https://www.econbiz.de/10010406941

Forecasting the volatility of the Dow Jones Islamic Stock Market Index : long memory vs. regime switching

Nasr, Adnen Ben; Lux, Thomas; Ajmi, Ahdi Noomen; Gupta, … - In: International review of economics & finance : IREF 45 (2016), pp. 559-571

Persistent link: https://www.econbiz.de/10011626589

Performance comparison between Islamic and conventional stocks: Evidence from Pakistan's equity market

Jabeen, Munazza; Kausar, Saba - In: ISRA International Journal of Islamic Finance 14 (2022) 1, pp. 59-72

Purpose - This paper aims to examine the performance of Islamic and conventional stocks listed at the Pakistan Stock … techniques. Such research has not been undertaken in the Pakistan's equity market since. …

Persistent link: https://www.econbiz.de/10015052298

Leverage-based index revisions : the case of Dow Jones Islamic Market World Index

Chen, Haiwei; Ngo, Thanh - In: Global finance journal 32 (2017), pp. 16-34

Persistent link: https://www.econbiz.de/10011802815

Co-movement and causality dynamics linkages between conventional and Islamic stock indexes in Bangladesh : a wavelet analysis

Sahabuddin, Mohammad; Hassan, Md. Farjin; Tabash, Mosab I. - In: Cogent business & management 9 (2022) 1, pp. 1-16

The study examines the co-movement and dynamic causality between conventional and Islamic stock indexes in Bangladesh from 20 January 2014 to 31 August 2019. This study employs multi-scales and wavelet-based techniques in examining the co-movement and causality between variables. The results...

Persistent link: https://www.econbiz.de/10014420479

Examining anomalies in Islamic equity market of Pakistan

Jebran, Khalil; Chen, Shihua - In: Journal of sustainable finance & investment 7 (2017) 3, pp. 275-289

Persistent link: https://www.econbiz.de/10011945866

Testing the long-memory features in return and volatility of NSE index

Ahamed, Naseem; Kalita, Mamoni; Tiwari, Aviral Kumar - In: Theoretical economics letters 5 (2015) 3, pp. 431-440

Persistent link: https://www.econbiz.de/10011396558

Markov regime-switching autoregressive model of stock market returns in Nigeria

Adejumo, Oluwasegun A.; Albert, Seno; Asemota, Omorogbe J. - In: CBN journal of applied statistics 11 (2020) 2, pp. 65-83

This study is designed to model and forecast Nigeria's stock market using the AllShare Index (ASI) as a proxy. By employing the Markov regime-switching autore-gressive (MS-AR) model with data from April 2005 to September 2019, the studyanalyzes the stock market volatility in three distinct...

Persistent link: https://www.econbiz.de/10012513279

Modelling long memory dependence structure using FIGARCH-copula approach : evidence from major Asian stock markets

Gupta, Pankaj Kumar; Mittal, Prabhat - In: Global business & economics review 30 (2024) 1, pp. 56-71

Persistent link: https://www.econbiz.de/10014490993

Price and volatility spillovers across North American, European and Asian stock markets : with special focus on Indian stock market

Singh, Priyanka D. (contributor); Kumar, Brajesh (contributor) - 2008

Persistent link: https://www.econbiz.de/10003791262