Estimation of dynamic conditional correlations of Shariah-compliant stock indices through the application of multivariate GARCH approach
A major issue in both Islamic finance and conventional finance is whether the shocks to the volatilities in the asset returns are substitutes or complements in terms of taking risk. An understanding of how volatilities of and correlations between asset returns change over time including their direct...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English English |
| Published: |
INSI Publications
2013
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| Subjects: | |
| Online Access: | http://irep.iium.edu.my/44500/ http://irep.iium.edu.my/44500/ http://irep.iium.edu.my/44500/1/259-267.pdf http://irep.iium.edu.my/44500/4/AJBAS_5_259-267.pdf |