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Keywords: TVP–VAR
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Journal Articles
Exploring spillover dynamics between cryptocurrencies, stablecoins and Islamic stocks during crisis: TVP–VAR approach
Available to Purchase
Journal of Islamic Accounting and Business Research (2025)
Published: 24 September 2025
... to their adherence to Shariah principles. Time-varying parameter vector autoregression ( TVP –VAR) method will allow the study to look at the spillover over time. Design/methodology/approach Using the TVP–VAR model, the study analyzes daily return data from January 1, 2018 to September 30, 2024. The data...
Journal Articles
Navigating uncertainty: a study of the S&P GCC composite index’s connectedness during times of crises
Available to Purchase
Journal of Islamic Accounting and Business Research (2024) 15 (8): 1359–1383.
Published: 17 June 2024
... 2024 GCC COVID-19 Dynamic connectedness Financial contagion TVP-VAR © Emerald Publishing Limited 2024 Emerald Publishing Limited Licensed re-use rights only To address these questions, we consider a financial system consisting of GCC and regional-level indices and GCC...
