Modelling the volatility of the Dow Jones Islamic Market World Index using a fractionally integrated time-varying GARCH (FITVGARCH) model
By Adnen Ben Nasr, A. Ajmi, Rangan Gupta. 2014
52 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/9847bad213310b6ee01b3e269c2130b7c74fac38
How researchers see this paper
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In Economics and Econometrics
- Rangan Gupta
- M. Balcılar
- L. Gil‐Alana
- Goodness C. Aye
- Elie Bouri
- David Roubaud
- M. Wohar
- Muhammad Shahbaz
In Finance
- Rangan Gupta
- Goodness C. Aye
- M. Balcılar
- Shinhye Chang
- L. Gil‐Alana
- Gang Li
- Haiyan Song
- Christian L. E. Franzke
Citations in the corpus
- Persistence of precious metal prices: A fractional integration approach with structural breaks (2014, background): “…low power especially in cases where the series is characterized by a fractional process (Diebold and Rudebusch, 1991; Hassler and Wolters, 1994; Lee and Schmidt, 1996; and more recently, Ben Nasr et al., 2014), the long memory approach provides us with an exact measure of the degree of persistence.”