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

, 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 …-at-risk with a duration-based POT method, and extreme market risk and extreme value theory. …

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 …

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

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 …