Forecasting the Volatility of the Dow Jones Islamic Stock Market Index: Long Memory vs. Regime Switching

Adnen Ben Nasr (), Thomas Lux, Ahdi Noomen Ajmi and Rangan Gupta

No 2014-236, Working Papers from Department of Research, Ipag Business School

Abstract: The financial crisis has fueled interest in alternatives to traditional asset classes that might be less affected by large market gyrations and, thus, provide for a less volatile development of a portfolio. One attempt at selecting stocks that are less pr

Keywords: Islamic finance; volatility dynamics; long memory; multifractals. Tals. (search for similar items in EconPapers)
JEL-codes: G15 G17 G23 (search for similar items in EconPapers)
Pages: 28 pages
Date: 2014-01-01
New Economics Papers: this item is included in nep-ara, nep-for, nep-ore and nep-rmg
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Citations: View citations in EconPapers (3)

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Related works:
Journal Article: Forecasting the volatility of the Dow Jones Islamic Stock Market Index: Long memory vs. regime switching (2016)
Working Paper: Forecasting the Volatility of the Dow Jones Islamic Stock Market Index: Long Memory vs. Regime Switching (2014)
Working Paper: Forecasting the volatility of the dow jones islamic stock market index: Long memory vs. regime switching (2014)
Working Paper: Forecasting the Volatility of the Dow Jones Islamic Stock Market Index: Long Memory vs. Regime Switching (2014)
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