THE DYNAMICS OF THE DOW JONES SUKUK VOLATILITY: EVIDENCE FROM EGARCH MODEL

This paper aims to test the effect of asymmetric shocks on the volatility of the Dow Jones Sukuk. To this end, we applied the EGARCH model to give a clear idea of the effect of asymmetric shocks on the volatility of the sukuk. Considering the daily returns of the Dow Jones Sukuk for the period from...

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Egile Nagusiak:	Nadhem SELMI, Mohamed FAKHFEKH, Marwa BEN SALEM
Formatua:	Artigo
Hizkuntza:	Inglês
Argitaratua:	Bucharest University of Economic Studies 2015-06-01
Saila:	Business Excellence and Management
Gaiak:	egarch asymmetry of shocks dow jones sukuk
Sarrera elektronikoa:	http://beman.ase.ro/no52/9.pdf
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