... The authors use a multivariate quantile model using daily equity returns data to analyze financial risk spillovers in the values at risk that may occur between major financial indices and the equity prices of conventional and Islamic banks worldwide. Then, using both quantile and quantile-on-quantile models...

... the fundamental element for the portfolio allocation, the risk management and the choice of financial derivatives. Value at risk Forecasting Artificial neural networks Islamic stock market GARCH family models An important task of risk management is the choice of the optimal model in forecasting...