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This paper examines the price discovery and volatility spill-over relationship for Indian commodity markets. We cover … be competitive. Volatility spill-over is confirmed for only three commodities and none of the indices. This implies the … Indian Commodity Market is yet to evolve an efficient risk transfer system for most commodities. The findings have …
Persistent link: https://www.econbiz.de/10010938525
what is known about the level of speculation in the paper oil market. We then analyze the dynamics of the term structure of …
Persistent link: https://www.econbiz.de/10009018082
illustrations, EVT and tail-risk modelling, with evidence from market indices and volatility series, the economics of data using … improved risk management during the global financial crisis, the role of banking regulation in an economy under credit risk and … liquidity shock, separating information maximum likelihood estimation of the integrated volatility and covariance with micro …
Persistent link: https://www.econbiz.de/10011256871
illustrations, EVT and tail-risk modelling, with evidence from market indices and volatility series, the economics of data using … improved risk management during the global financial crisis, the role of banking regulation in an economy under credit risk and … liquidity shock, separating information maximum likelihood estimation of the integrated volatility and covariance with micro …
Persistent link: https://www.econbiz.de/10010732636
illustrations, EVT and tail-risk modelling, with evidence from market indices and volatility series, the economics of data using … improved risk management during the global financial crisis, the role of banking regulation in an economy under credit risk and … liquidity shock, separating information maximum likelihood estimation of the integrated volatility and covariance with micro …
Persistent link: https://www.econbiz.de/10010778692
illustrations, EVT and tail-risk modelling, with evidence from market indices and volatility series, the economics of data using … improved risk management during the global financial crisis, the role of banking regulation in an economy under credit risk and … liquidity shock, separating information maximum likelihood estimation of the integrated volatility and covariance with micro …
Persistent link: https://www.econbiz.de/10010860064
integrated volatility and covariance with micro-market noise, stress testing correlation matrices for risk management, whether … management, whether the Basel Accord has improved risk management during the global financial crisis, the role of banking … regulation in an economy under credit risk and liquidity shock, separating informa-tion maximum likelihood estimation of the …
Persistent link: https://www.econbiz.de/10010907402
.e., the hedging effectiveness of currency futures markets. In particular, the present work demonstrates that the futures … markets for British pounds, German marks, and Japanese Yen have been as effective as hedging devices as have some of the long …
Persistent link: https://www.econbiz.de/10011114149
This paper examines the impact of MIB30 Index Futures on the volatility of the Italian Stock Exchange. The results … suggest that the onset of futures trading may have led to diminished daily volatility. They also suggest that the nature of … the volatility itself has not changed between the pre-futures and post-futures periods although a lower volatility is …
Persistent link: https://www.econbiz.de/10005612304
costs. The GKO nonzero risk premium was estimated as the costs of position hedging in the GKO futures market. The procedure … used for estimating the risk premia may be useful for the governmental agencies as an instrument for estimating investors …
Persistent link: https://www.econbiz.de/10005121382