Showing 1 - 6 of 6
Persistent link: https://www.econbiz.de/10009755846
We analyse the total and directional spillovers across a set of financial institution systemic risk state variables: credit risk, real estate market risk, interest rate risk, interbank liquidity risk and overall market risk. A multiple structural break estimation procedure is employed to detect...
Persistent link: https://www.econbiz.de/10012928904
Risk aversion is a key element of utility maximizing hedge strategies; however, it hastypically been assigned an arbitrary value in the literature. This paper instead applies a GARCH-in-Mean (GARCH-M) model to estimate a time-varying measure of riskaversion that is based on the observed risk...
Persistent link: https://www.econbiz.de/10009475662
Risk aversion is a key element of utility maximizing hedge strategies; however, it has typically been assigned an arbitrary value in the literature. This paper instead applies a GARCH-in-Mean (GARCH-M) model to estimate a time-varying measure of risk aversion that is based on the observed risk...
Persistent link: https://www.econbiz.de/10009475637
A key issue in the estimation of energy hedges is the hedgers’ attitude towards risk which is encapsulated in the form of the hedgers’ utility function. However, the literature typically uses only one form of utility function such as the quadratic when estimating hedges. This paper addresses...
Persistent link: https://www.econbiz.de/10008852072
Risk aversion is a key element of utility maximizing hedge strategies; however, it has typically been assigned an arbitrary value in the literature. This paper instead applies a GARCH-in-Mean (GARCH-M) model to estimate a time-varying measure of risk aversion that is based on the observed risk...
Persistent link: https://www.econbiz.de/10008487726