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Flexible Wechselkurse, Wechselkursvolatilität und Welthandel
Schubert, Michael - 1992
Persistent link: https://www.econbiz.de/10004128136
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Dynamische Steuerung von Portfoliorisiken
Reinschmidt, Timo - 2006
Persistent link: https://www.econbiz.de/10004920247
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Energieeinsparung als Versicherung gegen Marktrisiken : eine kapitalmarkttheoretisch fundierte Wirtschaftlichkeitsrechnung
Kreuzberg, Peter - 1996
Persistent link: https://www.econbiz.de/10004301728
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Introduction to Risk Parity and Budgeting
Roncalli, Thierry - Volkswirtschaftliche Fakultät, … - 2013
Although portfolio management didn’t change much during the 40 years after the seminal works of Markowitz and Sharpe, the development of risk budgeting techniques marked an important milestone in the deepening of the relationship between risk and asset management. Risk parity then became a...
Persistent link: https://www.econbiz.de/10011259736
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Nigeria; Poverty Reduction Strategy Paper: National Economic Empowerment and Development Strategy
International Monetary Fund (IMF); International … - 2005
This Poverty Reduction Strategy Paper for Nigeria highlights the National Economic Empowerment and Development Strategy (NEEDS). NEEDS gives special support to agriculture, industry, small and medium-scale enterprises, and oil and gas. Under the plan, the government will seek long-term capital...
Persistent link: https://www.econbiz.de/10005591671
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The Future of Oil; Geology Versus Technology
Chauvet, Marcelle; Selody, Jack G.; Laxton, Douglas; … - International Monetary Fund (IMF) - 2012
We discuss and reconcile two diametrically opposed views concerning the future of world oil production and prices. The … the fact that world oil production has plateaued since 2005 despite historically high prices, and that spare capacity has … model of the world oil market that encompasses both views. The model performs far better than existing empirical models in …
Persistent link: https://www.econbiz.de/10011242439
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Financial volatility and time-varying risk premia
Hördahl, Peter - 1997
Persistent link: https://www.econbiz.de/10004351979
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Financial applications of ARMA models with GARCH errors
Ghahramani, M.; Thavaneswaran, A. - In: Journal of Risk Finance 7 (2006) November, pp. 525-543
hypothesis testing for stationary ARMA(p, q) processes with GARCH errors is studied. Forecasting of ARMA(p, q) processes with … principal method used for the research. The results were also illustrated using examples and simulation studies. Volatility … statistical properties of volatility modeling. …
Persistent link: https://www.econbiz.de/10005002456
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A fear index to predict oil futures returns
Chevallier, Julien; Sevi, Benoit - Institut de Préparation à l'Administration et à la … - 2014
This paper evaluates the predictability of WTI light sweet crude oil futures by us- ing the variance risk premium, i.e. the difference between model-free measures of implied and realized volatilities. Additional regressors known for their ability to ex- plain crude oil futures prices are also...
Persistent link: https://www.econbiz.de/10010860537
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A Fear Index to Predict Oil Futures Returns
Chevallier, Julien; Sévi, Benoît - Fondazione ENI Enrico Mattei (FEEM) - 2013
This paper evaluates the predictability of WTI light sweet crude oil futures by using the variance risk premium, i.e. the difference between model-free measures of implied and realized volatilities. Additional regressors known for their ability to explain crude oil futures prices are also...
Persistent link: https://www.econbiz.de/10010678658