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This study explores the impact of real economic policy (business condition risk) on the oil-stock nexus risk connectedness during the COVID-19 pandemic. It uses multivariate wavelet coherency and partial wavelet coherency methods to isolate the effects of global risk indices, such as the US...
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We examine the relative risk performance of the Dow Jones Islamic Index (DJIS) and finds that the index outperforms the Dow Jones (DJIM) WORLD Index in terms of risk. Using the most recent Value-at-Risk (VaR) methodologies (RiskMetrics, Student-t APARCH, and skewed Student-t APARCH) on the 1996...
Persistent link: https://www.econbiz.de/10012972997
This paper investigates the effect of economic policy uncertainty (EPU) on the systemic risk of the fintech industry. To achieve this goal, we first estimate the evolution of system-wide systemic risk using the Catastrophic Risk in the Financial Sector (CatFin) method. We further utilize the...
Persistent link: https://www.econbiz.de/10014353952
This paper examines the spillover effects of the US economic policy uncertainty (EPU) on the UAE stock market volatility. The empirical analysis is mainly conducted using a novel approach based on combining the Diebold and Yilmaz (2014) connectedness index with the time-varying parameter vector...
Persistent link: https://www.econbiz.de/10014255189