A systemic risk analysis of Islamic equity markets using vine copula and delta CoVaR modeling
Year of publication: |
September 2018
|
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Authors: | Shahzad, Syed Jawad Hussain ; Arreola-Hernandez, Jose ; Bekiros, Stelios ; Shahbaz, Muhammad ; Kayani, Ghulam Mujtaba |
Published in: |
Journal of international financial markets, institutions & money. - Amsterdam : Elsevier, ISSN 1042-4431, ZDB-ID 1117317-8. - Vol. 56.2018, p. 104-127
|
Subject: | Spillovers | Systemic risk | Conditional VaR | Copulas | Tail dependence | Multivariate Verteilung | Multivariate distribution | Systemrisiko | Risikomaß | Risk measure | Spillover-Effekt | Spillover effect | Statistische Verteilung | Statistical distribution | Aktienmarkt | Stock market | Finanzkrise | Financial crisis |
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