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Credit default risk in Islamic and conventional banks: Evidence from a GARCH option pricing model
16 references·0 citing·45 second hopsampled
Credit default risk in Islamic and conventional banks: Evidence from a GARCH option pricing model (2022)Credit default risk in Islamic and conven…Testing Weak Cross-Sectional Dependence in Large Panels (2014)Testing Weak Cross-Sectional …Islamic vs. conventional banks: Business models, efficiency and stability (2013)Islamic vs. conventional bank…THE EFFECTS OF THE GLOBAL CRISIS ON ISLAMIC AND CONVENTIONAL BANKS: A COMPARATIVE STUDY (2010)THE EFFECTS OF THE GLOBAL CRI…Islamic Banks and Financial Stability (2008)Islamic Banks and Financial S…Forecasting Default with the Merton Distance to Default Model (2008)Forecasting Default with the …Robust Standard Errors for Panel Regressions with Cross-Sectional Dependence (2007)Robust Standard Errors for Pa…A simple panel unit root test in the presence of cross‐section dependence (2007)A simple panel unit root test…Default Risk in Equity Returns (2004)Default Risk in Equity ReturnsUnit root tests in panel data: asymptotic and finite-sample properties (2002)Unit root tests in panel data…A Closed-Form GARCH Option Valuation Model (2000)A Closed-Form GARCH Option Va…Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data (1998)Consistent Covariance Matrix …THE GARCH OPTION PRICING MODEL (1995)THE GARCH OPTION PRICING MODELMeasuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Time Series Analysis: Forecasting and Control (1977)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Time Series Analysis: Forecasting and Control (1977)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)Forecasting Bankruptcy More Accurately: A Simple Hazard Model (2001)The Economics of Structured Finance (2009)Credit Spreads and Business Cycle Fluctuations (2012)Predictably Unequal? 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(2015)Dynamic relationship among environmental regulation, innovation, CO2 emissions, population, and economic growth in OECD countries: A panel investigation (2019)Spatial Processes, Models and Applications (1983)Spatial Econometrics: Methods and Models (1988)General Diagnostic Tests for Cross Section Dependence in Panels (2004)Does green investment, financial development and natural resources rent limit carbon emissions? A provincial panel analysis of China (2020)General diagnostic tests for cross-sectional dependence in panels (2020)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A long memory property of stock market returns and a new model (1993)Introductory Econometrics for Finance (2008)Testing for unit roots in heterogeneous panels (2003)Testing slope homogeneity in large panels (2007)Testing for Granger non-causality in heterogeneous panels (2012)The effect of renewable energy consumption on economic growth: Evidence from top 38 countries (2015)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 2002Unit root tests in panel data: asymptotic and finite-sample properties12,832 cited
  • 2007A simple panel unit root test in the presence of cross‐section dependence12,758 cited
  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1998Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data6,815 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 2007Robust Standard Errors for Panel Regressions with Cross-Sectional Dependence3,354 cited
  • 2014Testing Weak Cross-Sectional Dependence in Large Panels2,938 cited
  • 2008Forecasting Default with the Merton Distance to Default Model2,220 cited
  • 2004Default Risk in Equity Returns1,997 cited
  • 2013Islamic vs. conventional banks: Business models, efficiency and stability1,529 cited
  • 2008Islamic Banks and Financial Stability1,150 cited
  • 1995THE GARCH OPTION PRICING MODEL1,131 cited
  • 2000A Closed-Form GARCH Option Valuation Model972 cited

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  • 2010THE EFFECTS OF THE GLOBAL CRISIS ON ISLAMIC AND CONVENTIONAL BANKS: A COMPARATIVE STUDY769 cited
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