Are Islamic stock indexes exposed to systemic risk? : multivariate GARCH estimation of CoVaR
Year of publication: |
December 2017
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Authors: | Trabelsi, Nader ; Naifar, Nader |
Published in: |
Research in international business and finance. - Amsterdam [u.a.] : Elsevier, ISSN 0275-5319, ZDB-ID 424514-3. - Vol. 42.2017, p. 727-744
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Subject: | Systemic risk | CoVaR | Islamic stock indexes | Hedging strategy | Systemrisiko | Aktienindex | Stock index | Hedging | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Islamisches Finanzsystem | Islamic finance | Islamische Staaten | Islamic countries | Islam |
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