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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

Quasi-maximum likelihood estimation for long memory stock transaction data - under conditional heteroskedasticity framework

Quoreshi, A. M. M. Shahiduzzaman; Uddin, Reaz; Khan, … - In: Journal of risk and financial management : JRFM 12 (2019) 2/74, pp. 1-13

This paper introduces Quasi-Maximum Likelihood Estimation for Long Memory Stock Transaction Data of unknown underlying distribution. The moments with conditional heteroscedasticity have been discussed. In a Monte Carlo experiment, it was found that the QML estimator performs as well as CLS and...

Persistent link: https://www.econbiz.de/10012022130

Univariate and multivariate GARCH models applied to Bitcoin futures option pricing

Venter, Pierre J.; Maré, Eben - In: Journal of risk and financial management : JRFM 14 (2021) 6, pp. 1-14

In this paper, the Heston-Nandi futures option pricing model is applied to Bitcoin futures options. The model prices are compared to market prices to give an indication of the pricing performance. In addition, a multivariate Bitcoin futures option pricing methodology based on a multivatiate...

Persistent link: https://www.econbiz.de/10012588206

Market quality and short-selling ban during the COVID-19 pandemic : a high-frequency data approach

Ferreruela, Sandra; Martín, Daniel - In: Journal of risk and financial management : JRFM 15 (2022) 7, pp. 1-29

volatility, but liquidity was reduced; (2) liquidity deterioration affected more the sell than the buy side of the LOB; (3) high …-frequency activity (HFT) diminished during SSR, reinforcing volatility; (4) negative effects on liquidity and HFT diminished and … disappeared as the ban was lifted; (5) HFT unidirectionally Granger causes 1 min realized volatility while the natural logarithm …

Persistent link: https://www.econbiz.de/10013370457

Does the assumption on innovation process play an important role for filtered historical simulation model?

Altun, Emrah; Tatlidil, Huseyin; Ozel, Gamze; … - In: Journal of risk and financial management : JRFM 11 (2018) 1, pp. 1-13

Most of the financial institutions compute the Value-at-Risk (VaR) of their trading portfolios using historical simulation-based methods. In this paper, we examine the Filtered Historical Simulation (FHS) model introduced by Barone-Adesi et al. (1999) theoretically and empirically. The main goal...

Persistent link: https://www.econbiz.de/10011855007

Asymmetry and leverage with news impact curve perspective in Australian stock returns' volatility during COVID-19

Iqbal, Najam; Manzoor, Muhammad Saqib; Bhatti, Muhammad … - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-15

This paper studies the effect of COVID-19 on the volatility of Australian stock returns and the effect of negative and … positive news (shocks) by investigating the asymmetric nature of the shocks and leverage impact on volatility. We employ a … than the GARCH model in estimating the volatility of the Australian stock returns. However, another interesting finding is …

Persistent link: https://www.econbiz.de/10012622818

Bitcoin return volatility forecasting : a comparative study between GARCH and RNN

Shen, Ze; Wan, Qing; Leatham, David J. - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-18

One of the notable features of bitcoin is its extreme volatility. The modeling and forecasting of bitcoin volatility … volatility were founded on econometric models. Research on bitcoin volatility forecasting using machine learning algorithms is … bitcoin's return volatility and Value at Risk. The objective of this study is to compare their out-of-sample performance in …

Persistent link: https://www.econbiz.de/10012626254

Volatility in international stock markets : an empirical study during COVID-19

Chaudhary, Rashmi; Bakhshi, Priti; Gupta, Hemendra - In: Journal of risk and financial management : JRFM 13 (2020) 9/208, pp. 1-17

Predicting volatility is a must in the finance domain. Estimations of volatility, along with the central tendency … research is to analyze the influence of COVID-19 on the return and volatility of the stock market indices of the top 10 … volatility remains higher than in normal periods, signaling a bearish tendency in the market. The COVID variable, as an exogenous …

Persistent link: https://www.econbiz.de/10012384430

Dynamic responses of major equity markets to the US fear index

Adrangi, Bahram; Chatrath, Arjun; Macri, Joseph; … - In: Journal of risk and financial management : JRFM 12 (2019) 4/156, pp. 1-23

.e., the Chicago Board of Trade Volatility Index (VIX). The VIX is designed to perform as a leading indicator of the volatility … estimation show that, in the first and second subperiods that cover from 6/2013 through 5/2016, equity market volatility in the …

Persistent link: https://www.econbiz.de/10012173007

A comparative analysis of the nature of stock return volatility in BRICS and G7 markets

Muguto, Lorraine; Muzindutsi, Paul-Francois - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-27

growing importance of emerging markets, the literature on the nature of volatility in global markets is typified by … volatility in developed G7 and emerging BRICS markets. Broad market index data and GARCH models over the period 2003 …:01–2020:08 were employed. The study found evidence of volatility persistence, asymmetry, mean reversion and weak evidence of a risk …

Persistent link: https://www.econbiz.de/10012872753