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Forecasting the Volatility of the Dow Jones Islamic Stock Market Index: Long Memory vs. Regime Switching

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  • Adnen Ben Nasr
  • Thomas Lux
  • Ahdi Noomen Ajmi
  • Rangan Gupta

Abstract

The financial crisis has fueled interest in alternatives to traditional asset classes that might be less affected by large market gyrations and, thus, provide for a less volatile development of a portfolio. One attempt at selecting stocks that are less pr

Suggested Citation

  • Adnen Ben Nasr & Thomas Lux & Ahdi Noomen Ajmi & Rangan Gupta, 2014. "Forecasting the Volatility of the Dow Jones Islamic Stock Market Index: Long Memory vs. Regime Switching," Working Papers 2014-236, Department of Research, Ipag Business School.
    • Handle: RePEc:ipg:wpaper:2014-236
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    References listed on IDEAS

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    28. Lux, Thomas & Kaizoji, Taisei, 2007. "Forecasting volatility and volume in the Tokyo Stock Market: Long memory, fractality and regime switching," Journal of Economic Dynamics and Control, Elsevier, vol. 31(6), pages 1808-1843, June.
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    More about this item

    Keywords

    Islamic finance; volatility dynamics; long memory; multifractals. Tals.;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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