The dynamic and dependence of takaful and conventional stock return behaviours: evidence from the insurance industry in Saudi Arabia

DOI10.1007/S10690-018-9249-2zbMath1409.62207OpenAlexW2887771999WikidataQ129365469 ScholiaQ129365469MaRDI QIDQ1757620

Wael Hemrit, Noureddine Benlagha

Publication date: 15 January 2019

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-018-9249-2

zbMATH Keywords

insurancestock returnsvolatilityDCC-GARCHAR(1)-GJR-GARCH(1,1)Saudi Arabia

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (1)

Does investment in insurance stocks reap diversification benefits? Static and time varying copula modeling

Uses Software

• QRM

Cites Work

• Unnamed Item
• Least absolute deviations estimation for ARCH and GARCH models
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• There's more to volatility than volume
• Multivariate GARCH Models
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• What good is a volatility model?
• The Econometric Modelling of Financial Time Series
• Threshold heteroskedastic models

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