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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
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Inflation and risky investments
Laurila, Hannu; Ilomäki, Jukka - In: Journal of risk and financial management : JRFM 13 (2020) 12/329, pp. 1-10
The paper uses a Walrasian two-period financial market model with informed and uninformed constant absolute risk averse (CARA) rational investors and noise traders. The investors allocate their initial wealth between risky assets and risk-free fiat money. The analysis concentrates on the effects...
Persistent link: https://www.econbiz.de/10012403996
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Computational finance
Stentoft, Lars - In: Journal of risk and financial management : JRFM 13 (2020) 7/145, pp. 1-4
use of computational methods and techniques for modelling financial asset prices, returns, and volatility, and on the use …
Persistent link: https://www.econbiz.de/10012309311
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Performance analysis of gold- and fiat-backed cryptocurrencies : risk-based choice for a portfolio
Irfan, Muhammad; Rehman, Mubeen Abdur; Nawazish, Sarah; … - In: Journal of risk and financial management : JRFM 16 (2023) 2, pp. 1-15
volatility, investors seek a safe haven. Ripple, on the other hand, shows low risk compared to Bitcoin. The results further … correlated to other cryptocurrencies. The implications of this research showing the volatility of gold- and fiat …
Persistent link: https://www.econbiz.de/10014305920
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Do the underlying portfolios matter? : a comparative study of equity-linked pay-at-maturity principal protected notes in Canada and the UK
Li, Yuanshun; Anderson, Scott; McGraw, Patricia A. - In: Journal of risk and financial management : JRFM 15 (2022) 10, pp. 1-20
protected notes (EL-PAM-PPNs) and the mean return and volatility of the underlying portfolio using 1568 EL-PAM-PPNs issued in … holding cost; (ii) the underlying portfolio’s volatility increases the note return and decreases the note holding cost; (iii … lower expected volatility. UK investors should avoid callable notes and choose notes with a longer time to maturity, where …
Persistent link: https://www.econbiz.de/10013471220
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Abnormal returns or mismeasured risk? : network effects and risk spillover in stock returns
Bhattacharjee, Arnab; Roy, Sudipto - In: Journal of risk and financial management : JRFM 12 (2019) 2/50, pp. 1-13
Recent event study literature has highlighted abnormal stock returns, particularly in short event windows. A common explanation is the cross-correlation of stock returns that are often enhanced during periods of sharp market movements. This suggests the misspecification of the underlying factor...
Persistent link: https://www.econbiz.de/10012022242
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The influence of domestic and foreign shocks on portfolio diversification gains and the associated risks
Narayan, Seema - In: Journal of risk and financial management : JRFM 12 (2019) 4/160, pp. 1-26
This paper evaluates the influence of foreign or domestic stock market return and return of volatility shocks on … dynamic conditional correlations (DCCs) between international stock markets and correlation volatility, respectively. The … seen as risks to portfolio diversification. Meanwhile, domestic shocks are sourced from the return and return volatility …
Persistent link: https://www.econbiz.de/10012172980
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Volatility spillover dynamics between large-, mid-, and small-cap stocks in the time-frequency domain : implications for portfolio management
Jena, Sangram Keshari; Tiwari, Aviral Kumar; Dash, Ashutosh - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-22
variance decomposition (FEVD) spillover framework of Diebold and Yilmaz in the time-frequency domain. Total volatility … opportunity in the short and long runs. The mid-cap index emerges as the major contributor to total volatility in the system …, followed by the small- and large-cap indices, during the analyzed period. The volatility spillover is time-varying in both the …
Persistent link: https://www.econbiz.de/10012795342
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Predictors of excess return in a green energy equity portfolio : market risk, market return, value-at-risk and or expected shortfall?
Abraham, Rebecca; El-Chaarani, Hani; Tao, Zhi - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-31
The rapid growth of electric vehicles, solar roofs, and wind power suggests that the potential growth in green equity investments is an emerging trend. Accordingly, this study measured the predictors of excess equity returns in a portfolio of global green energy producers, from 2010 to 2019....
Persistent link: https://www.econbiz.de/10012872607
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An empirical analysis of the volatility spillover effect between world-leading and the Asian stock markets : implications for portfolio management
Yousaf, Imran; Ali, Shoaib; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 13 (2020) 10/226, pp. 1-28
-AGARCH) model to examine both return and volatility spillovers from the USA (developed) and China (Emerging) towards eight emerging … calculate the optimal weights and hedge ratios for the stock portfolios. Our results reveal that both return and volatility … volatility was transmitted from the USA to the majority of the Asian stock markets during the Chinese stock market crash …
Persistent link: https://www.econbiz.de/10012388066