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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Номзүйн дэлгэрэнгүй

Үндсэн зохиолчид:	Nadhem SELMI, Mohamed FAKHFEKH, Marwa BEN SALEM
Формат:	Artigo
Хэл сонгох:	Inglês
Хэвлэсэн:	Bucharest University of Economic Studies 2015-06-01
Цуврал:	Business Excellence and Management
Нөхцлүүд:	egarch asymmetry of shocks dow jones sukuk
Онлайн хандалт:	http://beman.ase.ro/no52/9.pdf
Шошгууд:	Шошго нэмэх Шошго байхгүй, Энэхүү баримтыг шошголох эхний хүн болох!