Corporate bond returns in the major developed economies increase with risk, as measured by maturity and ratings. From a … pricing perspective, we find little to no evidence against the World CAPM model, where the market consists out of equity … variation of corporate bond returns than global factors. The factor exposures show intuitive patterns: as ratings worsen, equity …

We examine the risk minimization utility of Islamic stock and Sukuk (bond) indices by studying their linkages against … time-frequency analysis via wavelet tools, revealing pervasive coupling in both returns and volatility series. The linkages …

models. We show that HF-based predictions yield a significantly lower portfolio volatility than methods employing daily …

divergences in the tail returns from around the world. To do so, it applies extreme value theory to equity indices representing …

correlation between the assets' returns. Our technique finds lowly correlated linear and non-linear conditional latent factors …