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Does Bitcoin hedge commodity uncertainty?

Hoang, Khanh; Nguyen, Cuong; Poch, Kongchheng; Nguyen, … - In: Journal of risk and financial management : JRFM 13 (2020) 6/119, pp. 1-14

. Bitcoin contributes only 2.55% to the connectedness, while the wheat volatility index accounts for 12.51% of the total …

Persistent link: https://www.econbiz.de/10012305145

Hedging performance and multiscale relationships in the German electricity spot and futures markets

Madaleno, Mara; Pinho, Carlos - In: Journal of risk and financial management : JRFM 3 (2010) 1, pp. 26-62

We explore optimal hedge ratios and hedging effectiveness for the German electricity market. Given the increasing attention that wavelets received in the financial market, we concentrate on the investigation of the relationship, covariance/coherence evolution and hedge ratio analysis, on a...

Persistent link: https://www.econbiz.de/10011555959

Volatility and depth in commodity and FX futures markets

Aidov, Alexandre; Lobanova, Olesya - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-16

Prior theory suggests a positive relation between volatility and market depth, while past empirical research finds contrasting results. This paper examines the relation between the volatility and the limit order book depth in commodity and foreign exchange futures markets during a turbulent time...

Persistent link: https://www.econbiz.de/10012795882

Computational finance

Stentoft, Lars - In: Journal of risk and financial management : JRFM 13 (2020) 7/145, pp. 1-4

The field of computational finance is evolving ever faster. This book collects a number of novel contributions on the use of computational methods and techniques for modelling financial asset prices, returns, and volatility, and on the use of numerical methods for pricing, hedging, and risk...

Persistent link: https://www.econbiz.de/10012309311

Variance swap replication : discrete or continuous?

Le Floc'h, Fabien - In: Journal of risk and financial management : JRFM 11 (2018) 1, pp. 1-15

The popular replication formula to price variance swaps assumes continuity of traded option strikes. In practice, however, there is only a discrete set of option strikes traded on the market. We present here different discrete replication strategies and explain why the continuous replication...

Persistent link: https://www.econbiz.de/10011855148

Trading activities and the volatility of return on Malaysian crude palm oil futures

Yeap, Xiu Wei; Hooi Hooi Lean - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-15

Trading activities represent the flow of market information to the investors. This paper examines the effect of trading activities, i.e., trading volume and open interest, on the volatility of return for Malaysian Crude Palm Oil Futures. The GARCH model is applied by adding the expected and...

Persistent link: https://www.econbiz.de/10012814162

Volatility spillovers arising from the financialization of commodities

Chan, Wing Hong; Shelton, Bryce; Wu, Yan Wendy - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-12

This paper examines whether the proliferation of new index products, such as commodity-tracking exchange-traded funds … volatility is not symmetric across all commodities. The analysis of index investment and investors’ positions in futures markets … to the index investment and futures market analysis, where increased participation by investors through new investment …

Persistent link: https://www.econbiz.de/10011961264

The impact of the U.S. macroeconomic variables on the CBOE VIX Index

Prasad, Akhilesh; Bakhshi, Priti; Seetharaman, Arumugam - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-25

The purpose of this study is to find the influence of various macroeconomic factors on the volatility index, as … macroeconomic factors affect stock market volatility, resulting in an impact on the VIX Index, representing the risk in the stock …, classification problems from machine learning are constructed to predict the daily and weekly trends of the VIX Index. Data from May …

Persistent link: https://www.econbiz.de/10013163867

Dynamic responses of Standard and Poor's Regional Bank Index to the U.S. fear index, VIX

Adrangi, Bahram; Chatrath, Arjun; Kolay, Madhuparna; … - In: Journal of risk and financial management : JRFM 14 (2021) 3/114, pp. 1-18

This study examines the reaction of the Standard and Poor's Regional Bank Index (SPRB) to the U.S. equity market fear … index (i.e., the Chicago Board of Trade Volatility Index [VIX]). The VIX is designed to perform as a leading indicator of …

Persistent link: https://www.econbiz.de/10012485236

GARCH generated volatility indices of Bitcoin and CRIX

Venter, Pierre J.; Maré, E. - In: Journal of risk and financial management : JRFM 13 (2020) 6/121, pp. 1-15

BTCUSD and the Cyptocurrency Index (CRIX) are generated by making use of the symmetric GARCH option pricing model. The …

Persistent link: https://www.econbiz.de/10012309013