Accurate risk assessment is crucial for predicting potential financial losses. This paper introduces an innovative approach by employing expected risk models that utilize risk samples to capture comprehensive risk characteristics. The innovation lies in the integration of classical credibility...

This study examines the dynamic correlations and hedge ratios of precious metal stock returns of the Johannesburg stock exchange in pre- and post-COVID scenarios to determine if they can be used to hedge against adverse market movements. The study uses daily return series of four gold stocks and...

This study explores volatility spillovers and financial connectedness between conventional and Islamic equity stock markets in developed, emerging, and frontier economies. Four regions- Gulf Cooperation Council (GCC), South Asian Association for Regional Cooperation (SAARC), Brazil, Russia,...

This paper studies a discrete-time portfolio optimization problem, wherein the underlying risky asset follows a Lévy GARCH model. Besides a Gaussian noise, the framework allows for various jump increments, including infinite-activity jumps. Using a dynamic programming approach and exploiting...