Results 121 to 130 of about 2,929 (231)
Why Do Hedgers Hedge? The Role of Ambiguity
Journal of Futures Markets, Volume 46, Issue 6, Page 1053-1078, June 2026.ABSTRACT This paper investigates whether ambiguity influences hedging behavior in commodity futures markets. Using high‐frequency crude oil futures data, distinct measures of risk and ambiguity are linked to weekly hedging positions from the Commodity Futures Trading Commission (CFTC).
Fiona Höllmann
wiley +1 more source
Hedging hedge fund portfolio returns with Vix Index
, 2008 Purpose of this thesis is to compare the relationship of hedge fund portfolio and Vix index as well as to explore whether Vix index allocation is able to hedge hedge fund portfolio from downside movements in the negative months of hedge fund portfolio ...
Kärkkäinen, Heidi
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Unsupervised Time‐Event Probabilistic Classification Using Large Panels of Time Series
Statistical Analysis and Data Mining: An ASA Data Science Journal, Volume 19, Issue 3, June 2026.ABSTRACT This study presents a framework to perform unsupervised time‐event probabilistic classification using time series data of large cross‐sectional dimension. These datasets often exhibit complexities such as non‐linearities, structural breaks, asynchronicity, missing data, and outliers; which hampers their analysis and modeling.
Máximo Camacho +2 more
wiley +1 more source
The Informational Association between the S&P 500 Index and VIX Options Markets
, 2013 [[abstract]]We set out in this study to investigate the informational association between the S&P 500 index and VIX options markets by examining the relationship between trading activity in VIX options and changes in the VIX in a high-frequency framework.
Kao, Dian-Xuan;Tsai, Wei-Che;Wang, Yaw-Huei
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Typification of Linnaean names in the genus Passiflora (Passifloraceae)
TAXON, Volume 75, Issue 3, June 2026.Abstract Between 1753 and 1771, Carl Linnaeus described and named 30 species of passionflowers (Passiflora, Passifloraceae). As was customary at the time, he did not explicitly cite herbarium specimens that could serve as types for these species. Beginning in 1926 through 2024, 18 of the 30 Linnaean species names were typified and 2 were found to be ...
Maxime Rome +3 more
wiley +1 more source
, 2023 Volatilite yani oynaklık piyasalarda yaşanan ani değişimlerin bir göstergesidir. Artan oynaklık durumda piyasaları öngörebilmesi zorlaşır ve piyasalar gittikçe belirsizleşmeye başlar.Piyasalardaki bu dalgalanmaların şiddetini ölçüp ona göre pozisyon alma
Şen, Burak
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Abacus, Volume 62, Issue 2, Page 422-468, June 2026.This study examines whether comparable financial information can mitigate differences between individual and institutional investors’ trading behaviour, particularly behaviour that is shaped by investor sentiment. The results indicate that the higher the comparability, the smaller the gap in trading behaviour driven by investor sentiment between ...
Eun Hye Jo, Jung Wha (Jenny) Lee
wiley +1 more source
How Tether Depegging Affects Cryptocurrency Returns
Accounting &Finance, Volume 66, Issue 2, Page 1101-1129, June 2026.ABSTRACT This paper examines the relationship between Tether depegging events and the returns of ten major cryptocurrencies from November 2017 to November 2024. We distinguish between upward and downward deviations from the Tether peg, identifying these events as threshold exceedances based on historical prices, using both constant parameter and ...
Sean Foley +2 more
wiley +1 more source
An empirical study of application of HAR model in forecasting VIX index
, 2018 碩士根據Corsi（2004）的異質性自我迴歸模型(HAR)及修正後HAR模型(HAR-GARCH)來探討2012年7月至2016四年半間VIX指數的波動性預測，並運用MAE、MSE統計損失函數來評估其預測績效；本研究同時加入已實現波動VIX期貨、已實現偏態、已實現峰態、已實現波動VIX指數、VIX波動率之風險溢酬等，探討是否影響VIX指數的波動性預測。 在研究期間中，透過HAR及HAR-GARCH模型能夠有效的預測樣本外VIX指數，迴歸結果發現已實現波動率VIX期貨 ...
伍躍恆;Wu, Yueh-Heng
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