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Futures hedging when the structure of the underlying asset changes : the case of the BIFFEX contract
Kavussanos, Manolis G.; Nomikos, Nikos K. - In: The journal of futures markets 20 (2000) 8, pp. 775-801
Persistent link: https://www.econbiz.de/10001523757
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Volatility indices and implied uncertainty measures of European government bond futures
Baran, Jaroslav; Voříšek, Jan - 2020
Persistent link: https://www.econbiz.de/10013384851
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High-Frequency Causality in the VIX Index and Its Derivatives : Empirical Evidence
Farokhnia, Kia; Osterrieder, Joerg - 2023
In February 2018, the VIX index has seen its largest ever increase and has lead to significant losses for some major … linear causality in the VIX index and its derivatives during January and February 2018. Due to the shortcomings of … statistical inferences for stochastic volatility models, the dynamics of the volatility expectation index VIX remain controversial …
Persistent link: https://www.econbiz.de/10014361986
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Simulating physical basis risks in the Capesize freight market
Adland, Roar; Jia, Haiying - In: Maritime economics & logistics : a quarterly scientific … 19 (2017) 2, pp. 196-210
Persistent link: https://www.econbiz.de/10011731927
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Analytical view of pricing weather and freight derivatives : 1950-2020
Sekhar, G. V. Satya - In: Review of Pacific Basin financial markets and policies … 26 (2023) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10014305115
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Freight derivatives and risk management : a review
Kavussanos, Manolis G.; Visvikis, Ilias D. - In: Risk management in commodity markets : from shipping to …, (pp. 153-181). 2008
Persistent link: https://www.econbiz.de/10003787697
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Risk management in the shipping industry : theory and practice
Nomikos, Nikos K.; Alizadeh, Amir H. - In: The handbook of maritime economics and business, (pp. 693-730). 2006
Persistent link: https://www.econbiz.de/10003576471
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Constant vs. time-varying hedge ratios and hedging efficiency in the BIFFEX market
Kavussanos, Manolis G.; Nomikos, Nikos K. - In: Transportation research / E : an international journal 36 (2000) 4, pp. 229-248
Persistent link: https://www.econbiz.de/10001514322
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Hedging ship price risk using freight derivatives in the drybulk market
Adland, Roar; Ameln, Haakon; Børnes, Eirik A. - In: Journal of shipping and trade 5 (2020) 1, pp. 1-18
expected future earnings of a vessel. We investigate the corresponding hedging efficiency when using a portfolio of FFA prices … to hedge ship price risk of both static hedge ratios calculated using Ordinary Least Squares estimation and the dynamic … hedge ratios generated from a dynamic conditional correlation GARCH (1,1) model. We find that the hedging efficiency is …
Persistent link: https://www.econbiz.de/10012301104
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Time-varying copula models in the shipping derivatives market
Shi, Wenming; Li, Kevin Xingang; Yang, Zhongzhi; Wang, … - In: Empirical economics : a journal of the Institute for … 53 (2017) 3, pp. 1039-1058
Persistent link: https://www.econbiz.de/10011892949