Dynamic forecasting and mechanisms of volatility synchronization in complex financial systems. [PDF]
PLoS OneLi JC, Guo J, Ma R, Zhong G.
europepmc +1 more source
The Role of Price‐Volatility Cojumps in Volatility Forecasting
Journal of Futures Markets, EarlyView.ABSTRACT This paper investigates whether simultaneous jumps in prices and volatility improve volatility forecasting. Using up‐to‐date high‐frequency S&P 500 and VIX data, we identify price‐volatility cojumps at the intraday granularity and construct upside, downside, and asymmetric measures.
Kefu Liao
wiley +1 more source
Phase Behavior and Mass Transfer During Oil Reservoir Conversion to Underground Gas Storage: Effects on Storage Capacity and Recovery Efficiency. [PDF]
ACS OmegaKong D, Wang Y, Yang X, Gao Y, Zhang K.
europepmc +1 more source
On the Comovement of Contango and Backwardation Across Futures Commodity Markets
Journal of Futures Markets, EarlyView.ABSTRACT We examine the time‐varying nature of the comovement of the slope of the futures curve in major agricultural, metals and energy commodity futures markets in a Global Vector Autoregressive model. We find significant comovement between the slopes, indicating the co‐existence of backwardation and contango in many seemingly unrelated commodity ...
Angelo Luisi +2 more
wiley +1 more source
Development and justification of technical solutions for the design of a long-base flat car for the transportation of high-capacity containers. [PDF]
Sci RepRahimov R, Zafarov D, Khurmatov Y.
europepmc +1 more source
Quadratic Hedging of American Options Under GARCH Models
Journal of Futures Markets, EarlyView.ABSTRACT American options are widely traded in financial markets, yet there is a scarcity of literature on hedging in incomplete markets. In this paper, we derive optimal hedging ratios and option values using Local Risk Minimization (LRM) and Global Risk Minimization (GRM) hedging strategies through dynamic programming.
Junmei Ma, Chen Wang, Wei Xu
wiley +1 more source
Dynamic interdependence between consumer confidence and housing prices: Evidence from bootstrap rolling window causality tests. [PDF]
PLoS OneGuan Y, Su C, Wang Y.
europepmc +1 more source
International Journal of Finance &Economics, EarlyView.ABSTRACT One of the critical risks associated with cryptocurrency assets is the so‐called downside risk, or tail risk. Conditional Value‐at‐Risk (CVaR) is a measure of tail risks that is not normally considered in the construction of a cryptocurrency portfolio.
Xinran Huang +3 more
wiley +1 more source
Neighborhood socioeconomic disadvantage and school stock inhaler utilization in a statewide program. [PDF]
Front Public HealthReyes SM +8 more
europepmc +1 more source
Material ESG Performance and Bid Premium in Merger and Acquisition Deals
International Journal of Finance &Economics, EarlyView.ABSTRACT This study examines the firm‐level and country‐level environmental, social, and governance (ESG) performance on bid premiums in cross‐border mergers and acquisitions (M&A) transactions. We document considerable variations in bid premiums. Higher carbon emissions are associated with higher bid premiums, suggesting that acquirers may perceive ...
Ndubuisi Ezenwa +2 more
wiley +1 more source