Tail Dependence and Risk Spillover from the US to GCC Banking Sectors

Tail Dependence and Risk Spillover from the US to GCC Banking Sectors

This study investigates the structure of the tail dependence between the United States (US) and Gulf Cooperation Council (GCC) banking sectors for the period February 2010 to July 2017. Conditional value at risk and conditional diversification benefits are calculated. The GCC banking sectors show lo...

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Bibliographic Details
Main Authors: Faisal Alqahtani, Nader Trabelsi, Nahla Samargandi, Syed Jawad Hussain Shahzad
Format: Article
Language:English
Published: MDPI AG 2020-11-01
Series:Mathematics
Subjects:
banking sector
tail dependence
risk spillover
conditional diversification
GCC
Online Access:https://www.mdpi.com/2227-7390/8/11/2055

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