The study investigates the tail-risk spillover between the markets for sukuk and conventional bonds across fifteen countries between 2016 and 2023. First, we estimate a time varying parameter-value at risk (TVP-VAR)-based frequency connectedness model to measure the total, short-, and long-term...

In this paper, we examine intra-regional patterns of return spillovers between economic sectors of GCC over the period from 2007 to 2021. First, we investigate the connectedness of sectoral equity returns and explore the different patterns and magnitudes. Second, we also find out possible...

This paper proposes a dynamic regression model that incorporates network effects from a large cross section of units. We consider a functional coefficient to measure these effects that is estimated using Taylor expansions over a partition of disjoint intervals of the compact support of the...