M. B. Abbes, Risk and Return of Islamic and Conventional Indices, International Journal of Euro-Mediterranean Studies, vol.22, issue.3, pp.1-23, 2012.
DOI : 10.1007/s40321-012-0001-9

O. Abdelsalam, M. Duygun, J. C. Matallín-sáez, and E. Tortosa-ausina, Do ethics imply persistence? The case of Islamic and socially responsible funds, Journal of Banking & Finance, vol.40, pp.182-194, 2014.
DOI : 10.1016/j.jbankfin.2013.11.027

Z. Ahmad and H. Ibrahim, A study of performance of the KLSE Shariah index, Malaysian Management Journal, vol.6, pp.25-34, 2002.

A. Ahmed, Global financial crisis: an Islamic finance perspective, International Journal of Islamic and Middle Eastern Finance and Management, vol.3, issue.4, pp.306-320, 2010.
DOI : 10.1108/17538391011093252

A. N. Ajmi, S. Hammoudeh, D. K. Nguyen, and S. Sarafrazi, How strong are the causal relationships between Islamic stock markets and conventional financial systems? Evidence from linear and nonlinear tests, Journal of International Financial Markets, Institutions and Money, vol.28, pp.213-227, 2014.
DOI : 10.1016/j.intfin.2013.11.004

H. Alasrag, Global Financial Crisis and Islamic Finance, SSRN Electronic Journal, 2010.
DOI : 10.2139/ssrn.1591563

M. Albaity and R. Ahmad, Performance of Shariah and composite indices: Evidence from Bursa Malaysia, Journal of Accounting and Finance, vol.4, pp.23-43, 2008.

M. Albaity and R. Ahmad, Return performance and leverage effect in Islamic and socially responsible stock indices: Evidence from Dow Jones (DJ) and Financial Times Stock Exchange (FTSE), African Journal of Business Management, vol.5, pp.6927-6939

M. Albaity and R. Ahmad, Return performance, leverage effect, and volatility spillover in Islamic stock indices evidence from DJIMI, FTSEGII and KLSI, Investment Management and Financial Innovations, vol.8, pp.161-171, 2011.

O. Al-khazali, H. H. Lean, and A. Samet, Do Islamic stock indexes outperform conventional stock indexes? A stochastic dominance approach, Pacific-Basin Finance Journal, vol.28, pp.29-46, 2014.
DOI : 10.1016/j.pacfin.2013.09.003

H. Al-zoubi and A. Maghyereh, THE RELATIVE RISK PERFORMANCE OF ISLAMIC FINANCE: A NEW GUIDE TO LESS RISKY INVESTMENTS, International Journal of Theoretical and Applied Finance, vol.10, issue.02, pp.235-282, 2007.
DOI : 10.1142/S0219024907004184

T. G. Andersen, T. Bollerslev, and D. Dobrev, No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: Theory and testable distributional implications, Journal of Econometrics, vol.138, issue.1, pp.125-180, 2007.
DOI : 10.1016/j.jeconom.2006.05.018

E. Andreou and E. Ghysels, Detecting multiple breaks in financial market volatility dynamics, Journal of Applied Econometrics, vol.6, issue.5, pp.579-600, 2002.
DOI : 10.1002/jae.684

P. Artzner, F. Delbaen, J. Eber, and D. Heath, Coherent Measures of Risk, Mathematical Finance, vol.9, issue.3, pp.203-228, 1999.
DOI : 10.1111/1467-9965.00068

D. Ashraf and N. Mohammad, Matching perception with the reality-Performance of Islamic equity investments. Pacific-Basin Finance Journal, pp.175-189, 2014.

J. F. Bacmann and M. Dubois, Volatility in Emerging Stock Markets Revisited, SSRN Electronic Journal, pp.26-29, 2002.
DOI : 10.2139/ssrn.313932

R. Bali and H. Guirguis, Extreme observations and non-normality in ARCH and GARCH, International Review of Economics & Finance, vol.16, issue.3, pp.332-346, 2007.
DOI : 10.1016/j.iref.2005.05.003

N. S. Balke and T. B. Fomby, Large shocks, small shocks, and economic fluctuations: Outliers in macroeconomic time series, Journal of Applied Econometrics, vol.5, issue.2, pp.181-200, 1994.
DOI : 10.1002/jae.3950090205

URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=

F. Black, Studies of stock price volatility change, Proceedings of the 1976 Meetings of the Business and Economics Statistics Section, pp.177-181, 1976.

T. Bollerslev, R. Y. Chou, and K. F. Kroner, ARCH modeling in finance, Journal of Econometrics, vol.52, issue.1-2, pp.5-59, 1992.
DOI : 10.1016/0304-4076(92)90064-X

K. Boudt, J. Danielsson, and S. Laurent, Robust forecasting of dynamic conditional correlation GARCH models, International Journal of Forecasting, vol.29, issue.2, pp.244-257, 2013.
DOI : 10.1016/j.ijforecast.2012.06.003

G. E. Box and G. C. Tiao, Intervention Analysis with Applications to Economic and Environmental Problems, Journal of the American Statistical Association, vol.25, issue.3, pp.70-79, 1975.
DOI : 10.1080/01621459.1975.10480264

M. A. Carnero, D. Peña, and E. Ruiz, Outliers and conditional autoregressive heteroskedasticity in time series, Revista Estadistica, vol.53, pp.143-213, 2001.

M. A. Carnero, D. Peña, and E. Ruiz, Effects of outliers on the identification and estimation of GARCH models, Journal of Time Series Analysis, vol.6, issue.4, pp.471-497, 2007.
DOI : 10.1002/(SICI)1099-1255(199909/10)14:5<539::AID-JAE526>3.3.CO;2-N