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Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models
Nguyen, Hoang; Virbickaite, Audrone - 2022
Stock and oil relationship is usually time-varying and depends on the current economic conditions. In this study, we propose a new Dynamic Stochastic Mixed data frequency sampling (DSM) copula model, that decomposes the stock-oil relationship into a short-run dynamic stochastic component and a...
Persistent link: https://www.econbiz.de/10013258038
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Pricing of idiosyncratic equity and variance risks
Gourier, Elise - 2016
This paper decomposes the risk premia of individual stocks into contributions from systematic and idiosyncratic risks … 80% of the equity and variance risk premia, respectively. I provide a categorization of sectors based on the risk profile …
Persistent link: https://www.econbiz.de/10011410917
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Application of volatility-managed portfolios in the context of a volatility index
Subramanian, Abhishek; Kayal, Parthajit - 2023
Persistent link: https://www.econbiz.de/10014375126
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Financial Implications of the EU Emission Trading System : an analysis of wavelet coherence and volatility spillovers
De Ponti, Pietro; Romagnoli, Matteo - 2022
volatilities, we first discuss the evolution of the volatility of EU ETS allowances' returns from 2008 to 2021. Second, we study … the degree of co-movement and interdependence between the EU ETS returns' volatility and those of 37 large companies in … industries subject to the System; to this end, we employWavelet Coherence and Volatility Spillovers Analyses. Despite spotting …
Persistent link: https://www.econbiz.de/10013361266
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Diversification benefits of commodities : a stochastic dominance efficiency approach
Daskalaki, Charoula; Skiadopoulos, George; Topaloglou, … - 2016
We revisit the question whether commodities should be included in investors' portfolios. We employ for the first time a stochastic dominance efficiency (SDE) approach to construct optimal portfolios with and without commodities and we evaluate their comparative performance. SDE circumvents the...
Persistent link: https://www.econbiz.de/10011473894
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Uncertainty aversion, robust control and asset holdings
Vardas, Giannis; Xepapadeas, Anastasios - 2004
's wealth could increase as compared to the holdings under the Merton rule, which is the standard risk aversion case. With two …
Persistent link: https://www.econbiz.de/10011602543
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Institutional investors and home bias in Europ's capital markets union
Darvas, Zsolt M.; Schoenmaker, Dirk - 2017
Integrated capital markets facilitate risk sharing across countries. Lower home bias in financial investments is an … indicator of risk sharing. We highlight that existing indicators of equity home bias in the literature suffer from incomplete … greater the scope for risk sharing. …
Persistent link: https://www.econbiz.de/10011613999
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Optimal stopping time, consumption, labour, and portfolio decision for a pension scheme
Menoncin, Francesco; Vergalli, Sergio - 2019
In this work we solve in a closed form the problem of an agent who wants to optimise the inter-temporal utility of both his consumption and leisure by choosing: (i) the optimal inter-temporal consumption, (ii) the optimal inter-temporal labour supply, (iii) the optimal share of wealth to invest...
Persistent link: https://www.econbiz.de/10012006564
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Ordering ambiguous acts
Jewitt, Ian; Mukerji, Sujoy - 2017
We investigate what it means for one act to be more ambiguous than another. The question is evidently analogous to asking what makes one prospect riskier than another, but beliefs are neither objective nor representable by a unique probability. Our starting point is an abstract class of...
Persistent link: https://www.econbiz.de/10011694759
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Efficient electricity portfolios for Switzerland and the United States
Krey, Boris (contributor); Zweifel, Peter (contributor) - 2006
. Volatility of returns relates to the standard deviation of the cost increase associated with the portfolio, which contains …
Persistent link: https://www.econbiz.de/10003289775