Using the quantile regression approach to reveal the conditional relationships, the study re-examined the oil-stock co-movement in the context of oil-exporting countries in Africa. The data employed include daily OPEC basket price for crude oil and daily data on stock market indices for six...

This article presents a semi-Markov process based approach to optimally select a portfolio consisting of credit risky bonds. The criteria to optimize the credit portfolio is based on lÉ-norm risk measure and the proposed optimization model is formulated as a linear programming problem. The...