Dynamic interdependence between volatility of Shariah stock and bond
The purpose of this research is to investigate the correlation between bond yields and the Shariah equity index from 2007 to 2019. The Multivariate-GARCH Dynamic Conditional Correlation (DCC) model is applied to the daily data indices of five bond markets, namely conventional bond, corporate bond, c...
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| Auteurs principaux: | , , , |
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| Format: | Article |
| Langue: | English |
| Publié: |
Human Resource Management Academic Research Society
2023
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| Accès en ligne: | http://psasir.upm.edu.my/id/eprint/107422/1/107422.pdf |
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