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1-2 of 2
Keywords: GARCH
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Journal Articles
International Journal of Islamic and Middle Eastern Finance and Management (2014) 7 (1): 37–60.
Published: 14 April 2014
... and strategies that would lead to significant losses during periods of high market volatility. Mahmoud Bekri is the corresponding author and can be contacted at: mahmoud.bekri@gmail.com © Emerald Group Publishing Limited 2014 GARCH ARMA Risk management in Islamic finance Stable and tempered...
Journal Articles
International Journal of Islamic and Middle Eastern Finance and Management (2013) 6 (2): 122–141.
Published: 14 June 2013
... return and volatility. Two testing methodologies are used in this study, event study as well as GARCH and EGARCH models. Additionally, sector effect is considered to examine if mega events can affect sectors' returns in different levels. Findings The study found evidence of abnormal market return...
