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A wavelet-based analysis of the co-movement between sukuk bonds and Shariah stock indices in the GCC region : implications for risk diversification

Nasreen, Samia; Naqvi, Syed Asif Ali; Tiwari, Aviral Kumar - In: Journal of risk and financial management : JRFM 13 (2020) 4/63, pp. 1-21

Investors are interested in knowing whether sukuk bonds and shariah stock indices in the Gulf Corporation Council (GCC) region are related. This study examines the connectedness between the sukuk- and shariah-compliant stock indices in the GCC financial markets. Bivariate and multivariate...

Persistent link: https://www.econbiz.de/10012302496

Market-risk optimization among the developed and emerging markets with cvar measure and copula simulation

Trabelsi, Nader; Tiwari, Aviral Kumar - In: Risks : open access journal 7 (2019) 3/78, pp. 1-20

In this paper, the generalized Pareto distribution (GPD) copula approach is utilized to solve the conditional value-at-risk (CVaR) portfolio problem. Particularly, this approach used (i) copula to model the complete linear and non-linear correlation dependence structure, (ii) Pareto tails to...

Persistent link: https://www.econbiz.de/10012127555

Dependence risk analysis in energy, agricultural and precious metals commodities : a pair vine copula approach

Kumar, Satish; Tiwari, Aviral Kumar; Raheem, I. D.; Ji, … - In: Applied economics 52 (2020) 28, pp. 3055-3072

Persistent link: https://www.econbiz.de/10012221480

Impact of oil price risk on sectoral equity markets : implications on portfolio management

Tiwari, Aviral Kumar; Jena, Sangram Keshari; Mitra, Amarnath - In: Energy economics 72 (2018), pp. 120-134

Persistent link: https://www.econbiz.de/10011972290

Tail risk contagion across electricity markets in crisis periods

Abdullah, Mohammad; Abakah, Emmanuel Joel Aikins; … - In: Energy economics 127 (2023) 2, pp. 1-23

Persistent link: https://www.econbiz.de/10014490825

Modelling dependence and systemic risk between oil prices and BSE sectoral indices using stochastic copula and CoVar, ΔCoVar and MES approaches

Tiwari, Aviral Kumar; Pathak, Rajesh; DasGupta, Ranjan; … - In: Applied economics 53 (2021) 58, pp. 6770-6788

Persistent link: https://www.econbiz.de/10012697968

Empirical evidence of extreme dependence and contagion risk between main cryptocurrencies

Tiwari, Aviral Kumar; Adewuyi, Adeolu O.; Albulescu, … - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-12

Persistent link: https://www.econbiz.de/10012659682

Vine copula-based dependence and portfolio value-at-risk analysis of the cryptocurrency market

Boako, Gideon; Tiwari, Aviral Kumar; Roubaud, David - In: International economics : a journal published by CEPII … 158 (2019), pp. 77-90

Persistent link: https://www.econbiz.de/10012318740

Bitcoin returns and risk : a general GARCH and GAS analysis

Troster, Victor; Tiwari, Aviral Kumar; Shahbaz, Muhammad; … - In: Finance research letters 30 (2019), pp. 187-193

Persistent link: https://www.econbiz.de/10012420417

Value-at-risk and expected shortfall in cryptocurrencies' portfolio : a vine copula–based approach

Trucíos, Carlos; Tiwari, Aviral Kumar; Alqahtani, Faisal - In: Applied economics 52 (2020) 24, pp. 2580-2593

Persistent link: https://www.econbiz.de/10012210957