Showing 1 - 7 of 7
This paper examines volatility, volatility spillovers, optimal portfolio weights and hedging for systems that include the dollar/euro exchange rate together with four important and highly traded commodities - aluminum, copper, gold and oil - by utilizing four symmetric and asymmetric...
Persistent link: https://www.econbiz.de/10008763555
Risk management is crucial for optimal portfolio management. One of the fastest growing areas in empirical finance is the expansion of financial derivatives. The purpose of this special issue on “Risk Management and Financial Derivatives” is to highlight some areas in which novel...
Persistent link: https://www.econbiz.de/10010543596
This paper examines the roles of futures prices of crude oil, gasoline, ethanol, corn, soybeans and sugar in the energy-grain nexus. It also investigates the own- and cross-market impacts for lagged grain trading volume and open interest in the energy and grain markets. According to the results,...
Persistent link: https://www.econbiz.de/10009001304
This paper examines risk transmission and migration among six US measures of credit and market risk during the full period 2004-2011 period and the 2009-2011 recovery subperiod, with a focus on four sectors related to the highly volatile oil price. There are more long-run equilibrium risk...
Persistent link: https://www.econbiz.de/10009002679
This paper examines the long- and short-run asymmetric adjustments for nine pairs of spot and futures prices, itemized as three own pairs for three different bio-fuel ethanol types, three own pairs for three related agricultural products, namely corn, soybeans and sugar, and three cross pairs...
Persistent link: https://www.econbiz.de/10008774523
This paper examines volatility and correlation dynamics in price returns of gold, silver, platinum and palladium, and explores the corresponding risk management implications for market risk and hedging. Value-at-Risk (VaR) is used to analyze the downside market risk associated with investments...
Persistent link: https://www.econbiz.de/10008870925
This paper examines the short- and long-run daily relationships for a grain-energy nexus that includes the prices of corn, crude oil, ethanol, gasoline, soybeans, and sugar, and their open interest. The empirical results demonstrate the presence of these relationships in this nexus, and...
Persistent link: https://www.econbiz.de/10009131099