Tail-risk connectedness between sukuk and conventional bond markets and their determinants: Evidence from a country-level analysis
The study investigates the tail-risk spillover between the markets for sukuk and conventional bonds across fifteen countries between 2016 and 2023. First, we estimate a time varying parameter-value at risk (TVP-VAR)-based frequency connectedness model to measure the total, short-, and long-term freq...
| Main Authors: | , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2024-01-01
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| Series: | Borsa Istanbul Review |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2214845023001461 |