It is well known that high-frequency asset returns are fat-tailed relative to the Gaussian distribution, and that the fat tails are typically reduced but not eliminated when returns are standardized by volatilities estimated from popular ARCH and stochastic volatility models. We consider two...

We take a simple time-series approach to modeling and forecasting daily average temperature in U.S. cities, and we inquire systematically as to whether it may prove useful from the vantage point of participants in the weather derivatives market. The answer is, perhaps surprisingly, yes....

We assess and apply the term-structure model introduced by Nelson and Siegel (1987) and re-interpreted by Diebold and Li (2003) as a modern three-factor model of level, slope and curvature. First, we ask whether the model is a member of the affine class, and we find that it is not. Hence the...

We propose several connectedness measures built from pieces of variance decompositions, and we argue that they provide natural and insightful measures of connectedness among financial asset returns and volatilities. We also show that variance decompositions define weighted, directed networks, so...

Purpose – The purpose of this paper is to examine the risk management practices of life assurance firms and non-life insurance firms. Design/methodology/approach – Through a comparative case study methodology, the study assesses the state of risk management in both life assurance companies...

This paper examines the effect of risk on bank performance in Ghana. A panel data analysis of 18 banks over the period 1997-2008 is used in the study. The results show that lower risk levels lead to an increase in bank performance. In addition, the results show that when ownership interacts with...

Purpose – This paper reports on the foreign exchange risk-management practices among Ghanaian firms involved in international trade. The study focuses on how Ghanaian firms manage their foreign exchange risk and the problems involved in managing exchange rate exposure. It also seeks to...

Purpose – The purpose of this study is to examine the relationship between regulation of non-bank financial institutions and their risk-taking behaviours in Ghana. Design/methodology/approach – The analysis is performed using data derived from the Bank of Ghana Database during a five-year...

We propose several connectedness measures built from pieces of variance decompositions, and we argue that they provide natural and insightful measures of connectedness. We also show that variance decompositions define weighted, directed networks, so that our connectedness measures are intimately...