This paper investigates dynamic currency hedging benefits, with a further focus on the impact of currency hedging before and during the recent financial crises originated from the subprime and the Euro sovereign bonds. We take the point of view of a Euro-based institutional investor who...

The condensed research article presents some innovative research results on the venture capital optimal investment portfolio strategies selection in the diffusion-type financial systems in the imperfect highly volatile global capital markets with the incomplete information, which are...

We study optimal asset allocation for a portfolio of European fixed-income mutual funds during the recent financial turmoil. We use a sample of daily returns for country indices of French, German and Italian funds to investigate the quest for international diversification. Our analysis focuses...

The central banks introduce and implement the monetary and financial stabilities policies, going from the accurate estimations of national macro-financial indicators such as the Gross Domestic Product (GDP). Analyzing the dependence of the GDP on the time, the central banks accurately estimate...

This paper considers estimating the conditional mean and variance from a single-equation dynamic model with the mean following an ARMA (1,7) process, and the conditional variance with time-dependent conditional heteroskedasticity as represented by ARCH models. The volatility is measured by a...

The estimated Vector AutoRegressive (VAR) model is sensitive to model misspecifications, such as omitted variables, incorrect lag-length, and excluded moving average terms, which results in biased and inconsistent parameter estimates. Furthermore, the symmetric VAR model is more likely...

This paper investigates sensitivity of the VaR models when return series of stocks and stock indices are not normally distributed. It also studies the effect of market capitalization of stocks and stock indices on their Value at risk and Conditional VaR estimation. Three different market...

Theory suggests that physical commodity prices may exhibit nonlinear features such as bubbles and various types of asymmetries. This paper investigates these claims empirically by introducing a new time series model apt to capture such features. The data set is composed of 25 individual,...

In this paper we will study the influence of qualitative variables on the unit root tests for stationarity. For the linear regressions involved the implied assumption is that they are not influenced by such qualitative variables. For this reason, after we have introduced such variables, we...

Hedging strategies have become more and more complicated as assets being traded have become more interrelated to each other. Thus, the estimation of risks for optimal hedging does not involve only the quantification of individual volatilities but also include their pairwise correlations....