We derive the optimal hedging ratios for a portfolio of assets driven by a Cointegrated Vector Autoregressive model …

We analyze the impact of the estimation frequency - updating parameter estimates on a daily, weekly, monthly or …

volatility series and empirical findings inthis paper have significance for portfolio optimization, hedging strategies …The purpose of this paper is to examine the asymmetric relationship betweenprice and implied volatility and the … todemonstrate that the relationship between the volatility and market return as quantifiedby Ordinary Least Square (OLS) regression …

, volatility spillovers from the Chinese stock market to economic neighbours, a detailed comparison of Value-at-Risk estimates, the … papers cover the following topics: currency hedging strategies using dynamic multivariate GARCH, risk management of risk …

bonds. Default contagion exacerbates the pace and severity of changes for CDO tranches. …

, including market-based estimation of stochastic volatility models, the fine structure of equity-index option dynamics, leverage … and feedback effects in multifactor Wishart stochastic volatility for option pricing, option pricing with non …-Gaussian scaling and infinite-state switching volatility, stock return and cash flow predictability: the role of volatility risk, the …

variable selection, LASSO estimation of threshold autoregressive models, high dimensional stochastic regression with latent …-memory stochastic volatility models, testing for independence between functional time series, statistical inference for panel dynamic … of conditional quantiles in nonlinear time series models, quasi-likelihood estimation of a threshold diffusion process …

volatility. The endogenous structural breakpoint unit root test, ARDL model, and alternative volatility models, including GARCH … the volatility of global fertilizer prices and crude oil price from March to December 2008 are higher than in other …