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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| Hlavní autoři: | , , |
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| Médium: | Artigo |
| Jazyk: | Inglês |
| Vydáno: |
Bucharest University of Economic Studies
2015-06-01
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| Edice: | Business Excellence and Management |
| Témata: | |
| On-line přístup: | http://beman.ase.ro/no52/9.pdf |
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