The Effect of Recent Financial Crisis over Global Portfolio Diversification Opportunities – Empirical Evidence A Comparative Multivariate GARCH-DCC, MODWT and Wavelet Correlation Analysis
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Shakir, Zeeniya & Masih, Mansur, 2016. "How is the European debt crisis affecting islamic equity? challenges in portfolio diversification within the eurozone: A markov switching and continuous wavelet transform analysis," MPRA Paper 71683, University Library of Munich, Germany.
More about this item
KeywordsMGARCH-DCC; MODWT; Continuous Wavelet Transform CWT; Contagion; Volatility Spillover; Shariah Indices;
- 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
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2014-11-17 (All new papers)
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