Dynamic inflation hedging performance and downside risk: A comparison between Islamic and conventional stock indices
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DOI: 10.1016/j.qref.2023.07.006
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- Kong, Fanna & Gao, Zhuoqiong & Oprean-Stan, Camelia, 2023. "Green bond in China: An effective hedge against global supply chain pressure?," Energy Economics, Elsevier, vol. 128(C).
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More about this item
Keywords
The Dow Jones Islamic index; The Dow Jones World index; Global inflation; hedge; Dependence-switching copula model; Dynamic downside risk measures;All these keywords.
JEL classification:
- E53 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Deposit Insurance
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
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