Symmetric and Asymmetric Volatility Clustering Via GARCH Family Models: An Evidence from Religion Dominant Countries
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Abstract
Suggested Citation
DOI: 10.24312/1900148130104
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Cited by:
- Bashir, Taqadus & Khalid, Shujaat & Iqbal Khan, Kanwal & Javed, Saman, 2019. "Interest Rate Risk Management by Financial Engineering in Pakistani Non-Financial Firms," MPRA Paper 96426, University Library of Munich, Germany.
- Sadia Rashid & Kanwal Iqbal Khan & Adeel Nasir & Tayyiba Rashid, 2022. "Unveiling living dead: characteristics and consequences of zombie firms," Cogent Business & Management, Taylor & Francis Journals, vol. 9(1), pages 2121240-212, December.
- Kanwal Iqbal Khan & Syed M. Waqar Azeem Naqvi & Muhammad Mudassar Ghafoor & Rana Shahid Imdad Akash, 2020. "Sustainable Portfolio Optimization with Higher-Order Moments of Risk," Sustainability, MDPI, vol. 12(5), pages 1-14, March.
- Adeel Nasir & Kanwal Iqbal Khan & Mário Nuno Mata & Pedro Neves Mata & Jéssica Nunes Martins, 2021. "Optimisation of Time-Varying Asset Pricing Models with Penetration of Value at Risk and Expected Shortfall," Mathematics, MDPI, vol. 9(4), pages 1-38, February.
- Rewat Khanthaporn, 2022. "Analysis of Nonlinear Comovement of Benchmark Thai Government Bond Yields," PIER Discussion Papers 183, Puey Ungphakorn Institute for Economic Research.
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Keywords
Volatility Clustering; Religion Dominant Countries; Market Returns; Asymmetric Behavior; GARCH; GJR-GARCH; EGARCH;All these keywords.
JEL classification:
- G1 - Financial Economics - - General Financial Markets
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G2 - Financial Economics - - Financial Institutions and Services
- G3 - Financial Economics - - Corporate Finance and Governance
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