Similar Search Results

Calculating effective degrees of freedom for forecast combinations and ensemble models

Younker, James - 2022

Forecast combinations, also known as ensemble models, routinely require practitioners to select a model from a massive number of potential candidates. Ten explanatory variables can be grouped into 21078 forecast combinations, and the number of possibilities increases further to 21078+21078 if we...

Persistent link: https://www.econbiz.de/10014541795

The Effectiveness of Investing in Stock Exchange Markets in Central and Eastern European Countries with Regard to NYSE2‑LSE‑HKSE2. a Comparative Risk Analysis

Pera, Jacek - In: Comparative Economic Research. Central and Eastern Europe 22 (2019) 2, pp. 121-140

The aim of this paper is to assess the effectiveness and risk in the stock exchange market in Central and Eastern … and the risk and investment effectiveness analysis in the stock exchange market in CEE with regard to NYSE2-LSE-HKSE2 … to investment risk, the stock exchanges in CEE, due to dynamic development, are improving their investment position with …

Persistent link: https://www.econbiz.de/10013204600

Why do investors buy sovereign default insurance?

Augustin, Patrick; Sokolovski, Valeri; Subrahmanyam, … - 2016

is driven primarily by idiosyncratic country risk. We analyze several local and regional channels that may explain the … trading in sovereign CDS: (a) country-specific credit risk shocks, including changes in a country's credit rating and related …

Persistent link: https://www.econbiz.de/10011541794

The Role of Outliers and Oil Price Shocks on Volatility of Metal Prices

Behmiri, Niaz Bashiri; Manera, Matteo - 2015

outliers, outliers bias the parameters estimation of the GARCH-type models, and removing outliers improves the performance of …

Persistent link: https://www.econbiz.de/10011451148

Does the Iranian oil supply matter for the oil prices?

Farzanegan, Mohammad Reza - 2012

There is an increasing tension between the Iranian Government and the west on an increasingly likely European oil embargo and the Iranian threat to close the Strait of Hormuz. The main question is: What will happen to the international oil prices in the case of shocks in the flow of Iranian oil...

Persistent link: https://www.econbiz.de/10010294407

Commodity Asian option pricing and simulation in a 4-factor model with jump clusters

Brignone, Riccardo; Gonzato, Luca; Sgarra, Carlo - In: Annals of Operations Research 336 (2023) 1, pp. 275-306

of measure, we provide a risk-neutral version of the same model and we show how to price geometric and arithmetic Asian …

Persistent link: https://www.econbiz.de/10015194326

Causality between arbitrage and liquidity in platinum futures

Iwatsubo, Kentaro; Watkins, Clinton - In: Journal of Risk and Financial Management 15 (2022) 12, pp. 1-17

arbitrage and liquidity influence each other in the world's largest platinum futures markets on exchanges in New York and Tokyo …

Persistent link: https://www.econbiz.de/10014332749

Financialization in Commodity Markets: Disentangling the Crisis from the Style Effect

Adams, Zeno; Glück, Thorsten - 2013

In this paper, we show that large inflows into commodity investments, a recent phenomenon known as financialization, has changed the behavior and dependence structure between commodities and the general stock market. The common perception is that the increase in comovements is the result of...

Persistent link: https://www.econbiz.de/10010329463

Der Einfluss von Long-only-Indexfonds auf die Preisfindung und das Marktergebnis an landwirtschaftlichen Warenterminmärkten

Prehn, Sören; Glauben, Thomas; Loy, Jens-Peter; Pies, Ingo - 2013

market entry of long-only index funds lowers risk premiums, so farmers can hedge their price risk at lower costs. This favors …

Persistent link: https://www.econbiz.de/10010331338

The impact of long-only index funds on price discovery and market performance in agricultural futures markets

Prehn, Sören; Glauben, Thomas; Loy, Jens-Peter; Pies, Ingo - 2014

-only index funds lowers risk premiums, so farmers can hedge at lower costs. This gives incentives for storage and dampens …

Persistent link: https://www.econbiz.de/10010352781