Are Islamic stock indexes exposed to systemic risk? Multivariate GARCH estimation of CoVaR
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DOI: 10.1016/j.ribaf.2017.07.013
Abstract: The main objective of this paper is to assess the exposure of Islamic stock indexes to systemic tail events. We use Conditional Value-at-Risk (CoVaR) and Delta CoVaR measures as developed by Adrian and Brunnermeier (2011)… read more here.
Keywords: stock indexes; systemic risk; covar; islamic stock ... See more keywords