In this paper, we focus on three daily exchange rate returns dynamics. Indeed, we have assessed five GARCH-class models under three alternative distributions. Our findings confirm that the skewed Student-t FIAPARCH model performs very well. Then, we have computed short and long Value-at-Risk and...

We assess the co-movement between the sharia-compliant stocks and sukuk in the Gulf Cooperation Council (GCC) countries. The wavelet squared coherency approach is applied to daily data covering GCC global, corporate and financial services sukuk indexes as well as GCC sharia stocks. The empirical...

In this paper, we use the copulas functions in financial application, namely to examine the assumption of asymmetric dependence and to calculate some measures of risk. The first step consists of deducing filtered residuals for each return series by an asymmetric Glosten-Jagannathan-Runkle...