Narrow search
Showing 1 - 10 of 199
Cover Image
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 … negative relation between volatility and depth and suggest that the depth in the limit order book decreases as volatility …
Persistent link: https://www.econbiz.de/10012795882
Cover Image
Expectations for statistical arbitrage in energy futures markets
Nakajima, Tadahiro - In: Journal of risk and financial management : JRFM 12 (2019) 1/14, pp. 1-12
Energy futures have become important as alternative investment assets to minimize the volatility of portfolio return …
Persistent link: https://www.econbiz.de/10011961529
Cover Image
Machine learning in futures markets
Waldow, Fabian; Schnaubelt, Matthias; Krauss, Christopher; … - In: Journal of risk and financial management : JRFM 14 (2021) 3/119, pp. 1-14
In this paper, we demonstrate how a well-established machine learning-based statistical arbitrage strategy can be successfully transferred from equity to futures markets. First, we preprocess futures time series comprised of front months to render them suitable for our returns-based trading...
Persistent link: https://www.econbiz.de/10012485321
Cover Image
The fundamental equation in tourism finance
McAleer, Michael - In: Journal of risk and financial management : JRFM 8 (2015) 4, pp. 369-374
The purpose of the paper is to present the fundamental equation in tourism finance that connects tourism research to empirical finance and financial econometrics. The energy industry, which includes, oil, gas and bio-energy fuels, together with the tourism industry, are two of the most important...
Persistent link: https://www.econbiz.de/10011545065
Cover Image
Volatility integration in spot, futures and options markets : a regulatory perspective
Rastogi, Shailesh; Athaley, Chaitaly - In: Journal of risk and financial management : JRFM 12 (2019) 2/98, pp. 1-15
The aim of this paper is to study the integration of volatility in the three markets, viz. spot, futures and options … moments (GMM) is used to capture the simultaneous equation modelling of volatility in the three markets. The integration of … the volatility in the three markets is also tested for structural breaks. The main finding of the paper is that the …
Persistent link: https://www.econbiz.de/10012022005
Cover Image
A survey on empirical findings about spillovers in cryptocurrency markets
Kyriazis, Nikolaos A. - In: Journal of risk and financial management : JRFM 12 (2019) 4/170, pp. 1-17
This paper provides a systematic survey on return and volatility spillovers of cryptocurrencies based on the empirical … but volatility spillovers often present a bi-directional character. Volatility shock transmission is detected among …
Persistent link: https://www.econbiz.de/10012171411
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
Investigation of the financial stability of S&P 500 using realized volatility and stock returns distribution
Akter, Nahida; Nobi, Ashadun - In: Journal of risk and financial management : JRFM 11 (2018) 2, pp. 1-10
250-day time window were investigated by measuring realized stock returns and realized volatility. We examined the normal … distribution and frequency distribution for both daily stock returns and volatility. We also determined the beta-coefficient and …. We compared the stock volatility and stock returns for specific time periods i.e., non-crisis, before crisis and during …
Persistent link: https://www.econbiz.de/10011856960