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Asset price dynamics with limited attention

Hendershott, Terrence; Menkveld, Albert J.; Praz, Rémy; … - In: The review of financial studies 35 (2022) 2, pp. 962-1008

Persistent link: https://www.econbiz.de/10012878980

Max-share misidentification

Dou, Liyu; Ho, Paul; Lubik, Thomas A. - 2024

Persistent link: https://www.econbiz.de/10015190615

The variance risk premium and fundamental uncertainty

Conrad, Christian; Stürmer, Karin - 2015 - This version: February 24, 2015

We propose a new measure of the expected variance risk premium that is based on a forecast of the conditional variance from a GARCH-MIDAS model. We find that the new measure has strong predictive ability for future U.S. aggregate stock market returns and rationalize this result by showing that...

Persistent link: https://www.econbiz.de/10010484829

Determinants and real effects of joint hedging : an empirical analysis of the US petroleum industry

Dionne, Georges; El Hraiki, Rayane; Mnasri, Mohamed - 2022

Persistent link: https://www.econbiz.de/10013366285

Determinants and real effects of joint hedging : an empirical analysis of the US petroleum industry

Dionne, Georges; El Hraiki, Rayane; Mnasri, Mohamed - 2022

Persistent link: https://www.econbiz.de/10013348409

Determinants and real effects of joint hedging : an empirical analysis of US oil and gas producers

Dionne, Georges; El Hraiki, Rayane; Mnasri, Mohamed - 2023

Persistent link: https://www.econbiz.de/10014285885

Determinants and real effects of joint hedging : an empirical analysis of the US petroleum industry

Dionne, Georges; El Hraiki, Rayane; Mnasri, Mohamed - 2023

Persistent link: https://www.econbiz.de/10014287587

U.S. shale producers : a case of dynamic risk management?

Ferriani, Fabrizio; Veronese, Giovanni - 2019

Persistent link: https://www.econbiz.de/10012017772

The Use of Copulas in Hedging Oil and Market Price Risk for US Oil and Gas Investors : Empirical Investigation

Liu, Jingzhen - 2017

market index price, and the US oil and gas sub-sector indices. We also explore the out-of-sample hedging performance of a … hedging strategy by minimizing the conditional Value-at-Risk of the hedged portfolios composed with sub-sector index and … futures contract after estimating the time-varying parameters of copulas. We compare the hedging effectiveness of this …

Persistent link: https://www.econbiz.de/10012951539

Volatility spillovers and causality of carbon emissions, oil and coal spot and futures for the EU and USA

Chang, Chia-Lin; McAleer, Michael; Zuo, Guangdong - 2017 - Revised: May 2017

. For the USA, daily spot and futures prices are available for crude oil and coal, but there are no daily spot or futures … properties under the null hypothesis of zero off-diagonal elements. Dynamic hedging strategies using optimal hedge ratios will be …

Persistent link: https://www.econbiz.de/10011658757