A systemic risk analysis of Islamic equity markets using vine copula and delta CoVaR modeling

摘要: Abstract We model the downside and upside spillover effects, systemic tail dependence risks of DJ World Islamic (DJWI) Financial (DJWIF) indices, equity indices from Japan, USA UK. draw our empirical results conclusions by implementing a robust modeling framework consisting Value-at-Risk (VaR), conditional VaR (CoVaR), Delta (ΔCoVaR), canonical vine (c-vine CoVaR), time-varying static bivariate copula models. Full sample estimations indicate larger effects risk for Financials while Japan financials have greater exposure to effects. During financial crisis UK display higher risk; strongest negative asymmetric occurs between World, financials. Implications are discussed.