Aloui, Chaker; Hammoudeh, Shawkat; Hamida, Hela ben - In: The North American Journal of Economics and Finance 31 (2015) C, pp. 311-329
In this paper, we investigate the volatility spillovers between sukuk and sharia-compliant stocks in GCC countries. A multivariate Fractionally Integrated Asymmetric Power ARCH model with dynamic conditional correlations (DCC) is estimated under Student-t distribution. We provide strong evidence...