Past studies suggest that the Islamic Â…nance system is only weakly linked or even de- coupled from conventional markets. If this statement is true, then this system may provide a cushion against potential losses resulting from probable future Â…nancial crises. In this article, we make use...

This paper explores the relevance of asymmetry and long memory in modeling and forecasting the

This paper analyzes the short-term dynamics of the prices of CO2 emissions, using the vector autoregression (VAR) and the vector error-correction Models (VECM). The data are monthly for the prices of oil, coal, natural gas, electricity and carbon emission allowances. The results show that: (i) a...

Financial risk management is difficult at the best of times, but especially so in the presence of economic uncertainty and financial crises. The purpose of this special issue on “Advances in Financial Risk Management and Economic Policy Uncertainty” is to highlight some areas of research in...

Risk management is crucial for optimal portfolio management. One of the fastest growing areas in empirical finance is the expansion of financial deriva-tives. The purpose of this special issue on “Risk Management and Financial Deriva-tives” is to highlight some areas in which novel...

Financial risk management is difficult at the best of times, but especially so in the presence of economic policy uncertainty. The purpose of this special issue on “Advances in Financial Risk Management and Economic Policy Uncertainty” is to highlight some areas of research in which novel...

Unlike previous studies, this paper uses the Multi-Chain Markov Switching model (MCMS) to examine portfolio management strategies based on volatility transmission between six domestic stock markets of Gulf Arab states (GCC) and global markets (i.e., the U.S. S&P 500 index and oil prices) and...

This article attempts to examine whether the equity premium in the United States can be predicted from a com-prehensive set of 18 economic and financial predictors over a monthly out-of-sample period of 2000:2 to 2011:12, using an in-sample period of 1990:2-2000:1. To do so, we consider, in...

We compare nonlinear cointegration tests with the standard cointegration tests in studying the relationship of the Dow Jones Islamic finance index with three other conventional equity market indices. Our results show that there is a long-run nonlinear cointegrating relationship between the Dow...

In this article, we show how the copula-GARCH approach can be appro- priately used to investigate the conditional dependence structure between the crude oil and natural gas markets as well as to derive implications for port- folio risk management in extreme economic conditions. Using daily price...