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Forecasting the volatility of the Dow Jones Islamic Stock Market Index: Long memory vs. regime switching
Ben Nasr, Adnen; Lux, Thomas; Ajmi, Ahdi Noomen; Gupta, Rangan Elsevier (2016)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 ...