The purpose of this study is to compare the trend and volatility behaviour in Sukuk and conventional bonds of the Pakistan market. This study takes data from Wapda Sukuk and Pakistan 5 Investment Bonds (PIB) both of ten (10) years of maturity were incorporated as a sample. Daily price data were...

The study investigates the effects of stock market volatility and cybercrime on cryptocurrency returns in the South African economy. Daily time series data on four different types of cryptocurrencies (Bitcoin, Ethereum, Tether, and BMB) were employed. The data covers the period from 1 January...

This paper attempted to apply an EVT-based pairwise copula method for modelling risk interaction between foreign exchange rates and equity indices of the Johannesburg Stock Exchange (JSE) and to model the dependence structure of the underlying assets with some selected listed stock indices. We...

This paper studies the dynamics of contagion across the banking, insurance and shadow banking sectors of 16 advanced economies in the period 2006-2018. We construct Granger causality-in-risk networks and introduce higher-order aggregate networks and temporal node centralities in an economic...