increases of the variance risk-premium, and possess a statistically significant forecasting power for future volatility and …

volatility risk: investors require a positive risk premium in many, but by no means all, time periods or investment strategies …

This paper investigates dynamic currency hedging benefits, with a further focus on the impact of currency hedging … is hedged. Hedging strategies of currency risk, using exchange rates futures and driven by several multivariate GARCH … decrease in hedging rations compared to naïve hedging strategies based on linear regressions or variance smoothing …

unconditional volatility of the original asset is increasing during a certain period of time. We consider a market suffering from a … financial crisis. We provide the solution for the equation of the underlying asset price as well as finding the hedging strategy … to make the valuation of options and the underlying hedging strategies during financial crisis more precise. …

-value theory for exchange rate determination and on the strong co-movement displayed by some commodity prices. The Chilean economy …

autoregressive coefficient in the volatility dynamics. We establish the asymptotic distribution of the empirical MGF, from which …