This research investigates the dynamic dependence and causality relationship of the S&P
Kensho Clean Energy (CE) and Cleantech (CT) indices with two green bond indices …

This study was conducted in order to analyse the two-way relationship between the Islamic
stock market and sukuk market development, and economic growth. this study also analyses …

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 …

We studied the cross-correlations in the daily closing prices of 181 stocks listed on the
Pakistan stock exchange (PSX) covering a time period of 2007–2017 to compute the …

The objective of this paper is twofold. First, it aims to investigate the nexus between
sovereign CDS spreads and its drivers, including behavioral drivers, during the different …

The study has attempted to study the impact of COVID‐19 on downside stock market risk in
the G‐20 nations using Vaue‐at‐Risk models. The findings of the study suggest that all the …

Using the Baruník and Křehlík spillover index, the study examines the dynamic
connectedness and spillovers between Islamic and conventional (G6) bond markets to …

The aim of this paper is to analyze the dynamic nature of holding financial risky assets by
households before and after the 2008 financial crisis. We use data from Wave 2 (2006 …

Multivariate copulas have been widely used to handle risk in the financial market. This paper
aimed to adopt two novel multivariate copulas, Vine copulas and Factor copulas, to measure …

This paper examines the effect of order imbalance on realized volatility in the Australian
stock market for the period between August 2007 and May 2016. To analyse this asymmetric …