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Keywords: Value-at-risk
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Journal Articles
International Journal of Islamic and Middle Eastern Finance and Management (2023) 16 (1): 59–80.
Published: 19 May 2022
..., copula and extreme-value theory. A daily log-returns of three leading indices of Pakistan Stock Exchange (PSX) and Shanghai Stock Exchange (SSE) from the period of 2009 to 2019 is used in the modeling of value-at-risk (VaR) for volatility estimation. The Student’s t copula has been selected...
Journal Articles
International Journal of Islamic and Middle Eastern Finance and Management (2020) 13 (3): 533–552.
Published: 10 June 2020
... the realm of Islamic finance. Design/methodology/approach The authors use Engle’s (2002) DCC-GARCH model to study the dynamic conditional correlations between asset classes. Furthermore, the authors use the modified value-at-risk ( Favre and Galeano, 2002 ), which incorporates higher statistical...
