An Empirical Study of Islamic Equity as a Better Alternative during Crisis Using Multivariate GARCH DCC
Download full text from publisher
References listed on IDEAS
- Pesaran, Bahram & Pesaran, M. Hashem, 2007.
"Modelling Volatilities and Conditional Correlations in Futures Markets with a Multivariate t Distribution,"
IZA Discussion Papers
2906, Institute for the Study of Labor (IZA).
- Pesaran, B. & Pesaran, M.H., 2007. "Modelling Volatilities and Conditional Correlations in Futures Markets with a Multivariate t Distribution," Cambridge Working Papers in Economics 0734, Faculty of Economics, University of Cambridge.
- Lanza, Alessandro & Manera, Matteo & McAleer, Michael, 2006.
"Modeling dynamic conditional correlations in WTI oil forward and futures returns,"
Finance Research Letters,
Elsevier, vol. 3(2), pages 114-132, June.
- Matteo Manera & Alessandro Lanza & Michael McAleer, 2004. "Modelling Dynamic Conditional Correlations in WTI Oil Forward and Futures Returns," Working Papers 2004.72, Fondazione Eni Enrico Mattei.
- M. Hashem Pesaran & Bahram Pesaran, 2007. "Volatilities and Conditional Correlations in Futures Markets with a Multivariate t Distribution," CESifo Working Paper Series 2056, CESifo Group Munich.
- Mohamed Albaity & Rubi Ahmad, 2008. "Performance of Syariah and Composite Indices: Evidence from Bursa Malaysia," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 4(1), pages 23-43.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Yunus Kilic & Mehmet Fatih Bugan, 2016. "Are Islamic Equity Markets “Safe Havens”? Testing the Contagion Effect using DCC-GARCH," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 6(4), pages 167-176, October.
- Ibrahim, Mansor H., 2015. "Issues in Islamic banking and finance: Islamic banks, Shari’ah-compliant investment and sukuk," Pacific-Basin Finance Journal, Elsevier, vol. 34(C), pages 185-191.
- repec:eee:finana:v:52:y:2017:i:c:p:9-26 is not listed on IDEAS
More about this item
KeywordsIslamic Equity Market; Global Crisis; Multivariate GARCH Dynamic Conditional Correlations; Equity Investments;
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ris:isecst:0006. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (IRTI Staff) or (). General contact details of provider: http://edirc.repec.org/data/irisbsa.html .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.