Modeling the Volatility of the Dow Jones Islamic Market World Index Using a Fractionally Integrated Time Varying GARCH (FITVGARCH) Model
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Keywords
Volatility modeling; Long memory; Structural changes; Model specification;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2013-09-26 (Financial Markets)
- NEP-RMG-2013-09-26 (Risk Management)
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