Results 51 to 60 of about 307 (133)

Optimal Hedging Strategies in the Low‐Sulphur Bunker Fuel Landscape

European Financial Management, EarlyView.
ABSTRACT The IMO2020 regulation for the green transition in shipping turned the industry into using two compliant bunker fuels: very low‐sulphur fuel oil (VLSFO) and low‐sulphur marine gas oil (LSMGO). VLSFO futures contracts introduced in late 2019 and other energy‐related futures contracts indicate that the VLSFO contracts trading on the Singapore ...
Xiwen Bai, Manolis G. Kavussanos, Stergiani Moysiadou   +2 more
wiley   +1 more source

Cross-Asset Portfolio Modeling: A Comparative Study of Symmetrical and Asymmetric Dynamic Methods

Media Ekonomi dan Manajemen
This study aims to develop a dynamic portfolio model based on asset class, precious metals, world oil, and dollar index. This study performs a comparative test between the Dynamics Conditional Correlation (DCC) and Asymmetric Dynamics Conditional ...
Dismas Oktavianto, Robiyanto Robiyanto, Andrian Dolfriandra Huruta   +2 more
doaj   +1 more source

Robust Estimation and Inference for Time‐Varying Unconditional Volatility

Journal of Time Series Analysis, EarlyView.
ABSTRACT We derive a general and robust estimator of a large class of parametric specifications of time‐varying unconditional volatility of financial returns, both univariate and multivariate, and establish the Consistency and Asymptotic Normality (CAN) of the estimator.
Adam Lee, Rickard Sandberg, Genaro Sucarrat   +2 more
wiley   +1 more source

Research on the Hedge Ratio of China's Crude Oil Futures — Based on DCC-GARCH Model

Modern Economics & Management Forum, 2021
Crude oil plays an important role in economic development. This paper chooses China’s crude oil futures and crude oil actuals as the research objects, and builds the DCC-GARCH model to study the hedge ratio under the risk minimization standard. The hedge ratios obtained from the DCC-GARCH model will be compared with those obtained from OLS, B-VAR and ...
openaire   +2 more sources

The Effects of U.S. Monetary Policy Shocks on Portfolio Diversification

The Manchester School, EarlyView.
ABSTRACT We investigate the impact of changes in U.S. monetary policy on portfolio diversification. We build four different types of portfolios, including a U.S.‐only, a stock‐bond (60/40) portfolio, an international diversified stock portfolio, and an asset diversified portfolio.
Rong Huang, Dimos Kambouroudis, David G. McMillan   +2 more
wiley   +1 more source

Forecasting Volatility of Commodity, Currency, and Stock Markets: Evidence From Markov‐Switching Multifractal Models

Journal of Forecasting, Volume 45, Issue 6, Page 2905-2941, September 2026.
ABSTRACT This paper adopts a bivariate Markov‐switching multifractal (BMSM) model to reexamine comovement in SV between commodity, foreign exchange (FX), and stock markets. After the 2007–2008 global financial crisis understanding volatility linkages and the correlation structure between these markets becomes very important for risk analysts, portfolio
Ruipeng Liu, Mawuli Segnon, Oguzhan Cepni, Rangan Gupta   +3 more
wiley   +1 more source

Intraday Functional PCA Forecasting of Cryptocurrency Returns

Journal of Forecasting, Volume 45, Issue 5, Page 2186-2212, August 2026.
ABSTRACT We study the functional PCA (FPCA) forecasting method in application to functions of intraday returns on Bitcoin. We show that improved interval forecasts of future return functions are obtained when the conditional heteroscedasticity of return functions is taken into account.
Joann Jasiak, Cheng Zhong
wiley   +1 more source

DCC-Garch Models Using Islamic Market and European Market Indices

Islamic Banking and Finance Review, 2017
The last financial crisis (2007-2008) raises the question of how European stock shocks are distributed and transmitted from developed stock markets to Islamic stock markets. More precisely, the problem related to Islamic finance or any other alternative finance is, whether the shocks to the volatilities in the asset returns constitute substitute or ...
openaire   +1 more source

A Deep Learning Framework for Forecasting Medium‐Term Covariance in Multiasset Portfolios

Journal of Forecasting, Volume 45, Issue 4, Page 1797-1828, July 2026.
ABSTRACT Forecasting the covariance matrix of asset returns is central to portfolio construction, risk management, and asset pricing. However, most existing models struggle at medium‐term horizons, several weeks to months, where shifting market regimes and slower dynamics prevail.
Pedro Reis, Ana Paula Serra, João Gama
wiley   +1 more source

Return Dynamics and Volatility Spillovers Between FOREX and Stock Markets in MENA Countries: What to Remember for Portfolio Choice?

International Journal of Management and Economics, 2015
This article investigates the interdependence of stock-forex markets in MENA (Middle East and North Africa) countries for the February 26, 1999 to June 30, 2014 period.
Arfaoui Mongi, Ben Rejeb Aymen
doaj   +1 more source