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.Empirical results show that (i) Indonesia, followed by China and Mexico, are the main transmitters of sovereign credit risk volatility …. (ii) Among global factors, the volatility index (VIX), economic policy uncertainty (EPU), and global political risk (GPR …, policymakers, and researchers, emphasizing the importance of risk-aware investment strategies and cautious policy formulation in …
Persistent link: https://www.econbiz.de/10014636376
This study aims at developing econometric models to manage the price risk of Dry and Wet Cocoa beans with the help of … risk, precisely for Cocoa traders, Chocolate manufacturers, Cocoa growers, and the government for planning and decision …
Persistent link: https://www.econbiz.de/10013363126
opportunities while also introducing new risks. The aim of this study is to investigate the relationship between risk and return in … any dynamic link between risk and return in the Indian fintech market. The variance-based Mean-GARCH (GARCH-M) model was … used to determine whether there is a dynamic link between risk and return in the Indian fintech market. The findings …
Persistent link: https://www.econbiz.de/10014225995
Cryptocurrencies have increasingly attracted the attention of several players interested in crypto assets. Their rapid growth and dynamic nature require robust methods for modeling their volatility. The Generalized Auto Regressive Conditional Heteroskedasticity (GARCH) model is a well-known...
Persistent link: https://www.econbiz.de/10014446600
provide critical insights for both individual and institutional investors on risk management and portfolio diversification …
Persistent link: https://www.econbiz.de/10015408930
The main focus of the study is to determine the financial uncertainty while examining the Sukuk bonds prices, Sukuk bond and global emerging market indices returns dynamics. The study, with a time period ranging from 2017 to 2020, applies the quantile regression technique. The study findings...
Persistent link: https://www.econbiz.de/10013161520
investment returns and risk, provide an attractive and effective alternative to traditional guaranteed life annuity products …. While longevity risk sharing in pooled annuities has received recent attention, incorporating investment risk beyond fixed …, while reducing pooled annuity income volatility and downside risk, as well as an investment strategy that reduces exposure …
Persistent link: https://www.econbiz.de/10013363078
on equity indices, we find that a strategy based on long-term portfolio volatility, as is imposed by the Synthetic Risk … higher leverage induced by the SRRI, nor the potential protection in downside markets pay off on a risk adjusted basis. …
Persistent link: https://www.econbiz.de/10011890779
This paper studies the effect of variance swap in hedging volatility risk under the mean-variance criterion. We … variance swap can be used to hedge against the volatility risk. In the second problem, only the bank account and the stock can … be traded in the market, which is incomplete since the idiosyncratic volatility risk is unhedgeable. Under an exponential …
Persistent link: https://www.econbiz.de/10012293125
strategies, affects financial performance when risk is measured. We use the MA rule for market timing, that is, for when to buy … stocks and when to shift to the risk-free rate. The important issue regarding the predictability of returns is assessed. It …
Persistent link: https://www.econbiz.de/10011906234