Syed Mabruk Billah; Kapar, Burcu; Hassan, M. Kabir; … - In: Borsa Istanbul Review 24 (2024) 1, pp. 137-163
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...