We examine the relative risk performance of the Dow Jones Islamic Index (DJIS) and finds that the index outperforms the Dow Jones (DJIM) WORLD Index in terms of risk. Using the most recent Value-at-Risk (VaR) methodologies (RiskMetrics, Student-t APARCH, and skewed Student-t APARCH) on the 1996...

This study explores the impact of real economic policy (business condition risk) on the oil-stock nexus risk connectedness during the COVID-19 pandemic. It uses multivariate wavelet coherency and partial wavelet coherency methods to isolate the effects of global risk indices, such as the US...

Exploring the nexus between geopolitical risk (GPR) and military expenditures (ME) has been limited during the past period. It is justified by the absence of a well-published proxy for GPR. Recently, the work of Caldara and Iacoviello (2022) stimulated scholars to examine the consequences of...