Do Shariah (Islamic) Indices Provide a Safer Avenue in Crisis? Empirical Evidence from Dow Jones Indices using Multivariate GARCH-DCC
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References listed on IDEAS
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More about this item
KeywordsIslamic Equity Market; Global Crisis; Multivariate GARCH Dynamic Conditional Correlation; Equity Investments;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2014-08-20 (All new papers)
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