This study investigates the lead-lag relationships and volatility dynamics among four major cryptocurrencies - Bitcoin, Ethereum, Solana, and Polygon - during the turbulent year of 2022. We address three primary research questions: (1) To what extent do lead-lag relationships exist among major...

Political instability has increased drastically in Pakistan during the last few decades. This may intensify the fear of investors and eventually affect investment decisions. Therefore, the stock market's reaction to political stability must be explored and appropriate policy measures should be...

This study examines the link between stocks and decentralized finance (DeFi) in terms of returns and volatility. Major G7 exchange-traded funds (ETFs) and various highly traded DeFi assets are considered to ensure the robustness of the empirical experiment. Specifically, this study applies the...

This study introduces the dynamic Gerber model (DGC) and evaluates its performance in the prediction of Value at Risk (VaR) and Expected Shortfall (ES) compared to alternative parametric, non-parametric and semi-parametric methods for estimating the covariance matrix of returns. Based on ES...

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...