A systemic risk analysis of Islamic equity markets using vine copula and delta CoVaR modeling
Syed Jawad Hussain Shahzad, Jose Arreola-Hernandez, Stelios Bekiros, Muhammad Shahbaz, Ghulam Mujtaba Kayani
| Year of publication: |
September 2018
|
|---|---|
| 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
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| Subject: | Spillovers | Systemic risk | Conditional VaR | Copulas | Tail dependence | Systemrisiko | Multivariate Verteilung | Multivariate distribution | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Spillover-Effekt | Spillover effect | Finanzkrise | Financial crisis | Kapitaleinkommen | Capital income | Aktienmarkt | Stock market | Theorie | Theory | Finanzmarkt | Financial market | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.intfin.2018.02.013 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011990981