Results 21 to 30 of about 15,849 (295)
VaR as a mitigating risk tool in the maritime sector: An empirical approach on freight rates
Quantitative Finance and Economics, 2022 Shipping freight rates fluctuation is considered as one of the most important risk factors that participants face in the tanker shipping market (ship-owners, charterers, traders, hedge funds, banks and other financial institutions) in order to watch its ...
Basdekis Charalampos +2 more
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Volatility Timing in CPF Investment Funds in Singapore: Do They Outperform Non-CPF Funds?
Risks, 2019 The purpose of this study is to examine the volatility-timing performance of Singapore-based funds under the Central Provident Fund (CPF) Investment Scheme and non-CPF linked funds by taking into account the currency risk effect on internationally ...
Xiaoyi Shen +2 more
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A Copula-Garch Modelcopula-Garch Model [PDF]
Economic Research-Ekonomska Istraživanja, 2010 AbstractIn the present study we develop a new two-dimensional Copula-GARCH model. This type of two-dimensional process is characterized by a dependency structure modeled using a copula function. For the marginal densities we employ a GARCH(1,1) model with innovations drawn from a t-Student distribution.
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Copernican Journal of Finance & Accounting, 2020 The present study examines hedging effectiveness of futures contracts in India by using variance reduction approach and risk-return approach by applying eight econometric models. It is observed that OLS hedge ratio generates highest hedging effectiveness
Mandeep Kaur, Kapil Gupta
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Improving GARCH volatility forecasts with regime-switching GARCH [PDF]
Empirical Economics, 2002 Many researchers use GARCH models to generate volatility forecasts. Using data on three major U.S. dollar exchange rates we show that such forecasts are too high in volatile periods. We argue that this is due to the high persistence of shocks in GARCH forecasts.
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AIMS Energy, 2023 This research explores the spillover effects in the directional movement of returns and the persistence of shocks among three prominent energy spot markets: b transfer facility for natural gas, Brent crude oil and electricity markets from monthly price ...
Gustavo Soutinho +2 more
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New Medit, 2019 Barley is one of the main crops after wheat and rice. The importance of this product increases because it is an essential input in the livestock and poultry industries.
Behzad Fakari Sardahaie +2 more
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Evolution of bitcoin as a Financial Asset
Финансы: теория и практика, 2021 The cryptocurrency market debate resumed in 2020 with renewed vigour as the price of Bitcoin surpassed late 2017 highs. This study aims to analyse possible factors of Bitcoin’s pricing at various cryptocurrency market development stages — before the 2017
K. D. Shilov, A. V. Zubarev
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The Journal of Derivatives, 1995 This paper addresses the issue of hedging option positions when the underlying asset exhibits stochastic volatility. By parameterizing the volatility process as GARCH, and utilizing risk- neutral valuation, we estimate hedging parameters (delta and gamma) using Monte-Carlo simulation.
Robert Engle, Joshua Rosenberg
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Estimación de modelos de volatilidad en series de rendimientos bursátiles: 2000-2014
Pensamiento Crítico, 2015 Las series temporales de alta frecuencia observadas en los mercados financieros y cambiarios se caracterizan por ser asimétricas, leptocúrticas, agrupamiento de la volatilidad, mostrar una elevada persistencia en volatilidad, correlaciones en los ...
Rafael Bustamante Romaní
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