Estimating value-at-risk (VaR) for Murabahah Sukuk: an application of Monte Carlo simulation (MCS) with Generalized Autoregressive Conditional Heteroscedasticity (GARCH) and Exponentially Weighted Moving Average (EWMA) based modelling

Estimating value-at-risk (VaR) for Murabahah Sukuk: an application of Monte Carlo simulation (MCS) with Generalized Autoregressive Conditional Heteroscedasticity (GARCH) and Exponentially Weighted Moving Average (EWMA) based modelling

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Bibliographic Details
Main Author: Anis Suhaila Anas
Format: UMK Etheses
Language:English
Published: 2018
Subjects:
HB Economic Theory
Online Access:http://discol.umk.edu.my/id/eprint/10182/
http://discol.umk.edu.my/id/eprint/10182/7/1%20ANIS%20SUHAILA%20%28A15D004F%29.pdf
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id my-umk-ep.10182
record_format uketd_dc
spelling
institution Universiti Malaysia Kelantan
collection UMK Digital Special Collection
language English
topic HB Economic Theory
spellingShingle HB Economic Theory
Anis Suhaila Anas
Estimating value-at-risk (VaR) for Murabahah Sukuk: an application of Monte Carlo simulation (MCS) with Generalized Autoregressive Conditional Heteroscedasticity (GARCH) and Exponentially Weighted Moving Average (EWMA) based modelling
format UMK Etheses
author Anis Suhaila Anas
author_facet Anis Suhaila Anas
author_sort Anis Suhaila Anas
title Estimating value-at-risk (VaR) for Murabahah Sukuk: an application of Monte Carlo simulation (MCS) with Generalized Autoregressive Conditional Heteroscedasticity (GARCH) and Exponentially Weighted Moving Average (EWMA) based modelling
title_short Estimating value-at-risk (VaR) for Murabahah Sukuk: an application of Monte Carlo simulation (MCS) with Generalized Autoregressive Conditional Heteroscedasticity (GARCH) and Exponentially Weighted Moving Average (EWMA) based modelling
title_full Estimating value-at-risk (VaR) for Murabahah Sukuk: an application of Monte Carlo simulation (MCS) with Generalized Autoregressive Conditional Heteroscedasticity (GARCH) and Exponentially Weighted Moving Average (EWMA) based modelling
title_fullStr Estimating value-at-risk (VaR) for Murabahah Sukuk: an application of Monte Carlo simulation (MCS) with Generalized Autoregressive Conditional Heteroscedasticity (GARCH) and Exponentially Weighted Moving Average (EWMA) based modelling
title_full_unstemmed Estimating value-at-risk (VaR) for Murabahah Sukuk: an application of Monte Carlo simulation (MCS) with Generalized Autoregressive Conditional Heteroscedasticity (GARCH) and Exponentially Weighted Moving Average (EWMA) based modelling
title_sort estimating value-at-risk (var) for murabahah sukuk: an application of monte carlo simulation (mcs) with generalized autoregressive conditional heteroscedasticity (garch) and exponentially weighted moving average (ewma) based modelling
publishDate 2018
url http://discol.umk.edu.my/id/eprint/10182/
http://discol.umk.edu.my/id/eprint/10182/7/1%20ANIS%20SUHAILA%20%28A15D004F%29.pdf
_version_ 1748404079642542080

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