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Keywords: Stochastic volatility
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Journal Articles
International Journal of Islamic and Middle Eastern Finance and Management (2021) 14 (1): 57–76.
Published: 26 August 2020
... dynamic factor model to extract common variation between both types of indexes. Then they calculate stochastic volatility for each idiosyncratic component. They also carry out the study on three different family indexes respectively, Dow Jones, S&P and MSCI indexes, for the period going from January 1...
