Realized volatility transmission within Islamic stock markets: A multivariate HAR-GARCH-type with nearest neighbor truncation estimator

Realized volatility transmission within Islamic stock markets: A multivariate HAR-GARCH-type with nearest neighbor truncation estimator

Using the nearest neighbor truncation (NNT) approach, this study investigates the realized volatility transmission between the Malaysian Islamic market with various global sectoral Islamic stock markets by extending the heterogeneous autoregressive (HAR) with GARCH, asymmetric effects and jump-robus...

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Bibliographic Details
Main Authors: Sew Lai Ng, Wen Cheong Chin, Lee Lee Chong
Format: Article
Language:English
Published: Elsevier 2020-12-01
Series:Borsa Istanbul Review
Subjects:
C32
C58
G1
Online Access:http://www.sciencedirect.com/science/article/pii/S2214845020300612

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