Similar Search Results

Currency Hedge Design : Accounting for Uncertain Correlation and Volatility

Seymour, Anthony - 2016

framework and that the particular choice of hedge is strongly dependent on the correlation between the exchange rate and the … currency hedge in the presence of non-constant volatility and correlation. It is shown that implementation of the dynamic … conditional correlation (DCC) model in a simulation framework allows one to incorporate the effects of time-varying parameters …

Persistent link: https://www.econbiz.de/10012994157

Multivariate Modelling of 10-Day-Ahead VaR and Dynamic Correlation for Worldwide Real Estate and Stock Indices

Degiannakis, Stavros Antonios - 2018

the level of dynamic correlation for real estate and stock market indices; a valuable recommendation for risk managers who …

Persistent link: https://www.econbiz.de/10012910122

Estimating the joint tail risk under the filtered historical simulation : an application to the CCP's default and waterfall fund

Barone-Adesi, Giovanni; Giannopoulos, Kostas; Vosper, Les - 2015

To ensure that central counterparties (“CCPs”) are safe in all market conditions the European Union (EU) has adopted legislation, commonly known as the European Market Infrastructure Regulation (“EMIR”) that deals with their organisational requirements, including prudential requirements...

Persistent link: https://www.econbiz.de/10011296075

Cross-Market Spillovers with ‘Volatility Surprise’

Aboura, Sofiane - 2015

This article adopts the asymmetric DCC with one exogenous variable (ADCCX) model developed by Vargas (2008), by updating the concept of ‘volatility surprise' to capture cross-market relationships. Current methods for measuring spillovers do not focus on volatility interactions, and neglect...

Persistent link: https://www.econbiz.de/10013033099

A Slightly Depressing Jump Model : Intraday Volatility Pattern Simulation

Khashanah, Khaldoun - 2019

Hawkes Processes have been finding more applications in diverse areas of science, engineering and quantitative finance. In multi-frequency finance, various phenomena have been observed, such as shocks, crashes, volatility clustering, turbulent flows and contagion. Hawkes processes have been...

Persistent link: https://www.econbiz.de/10012900909

Dynamic volatility spillover connectedness of sectoral indices of commodity and equity : evidence from India

Purankar, Shriram Anil; Singh, Vipul Kumar - In: International journal of management practice : IJMP 13 (2020) 2, pp. 151-177

Persistent link: https://www.econbiz.de/10012177949

Volatility and co-movements of the equity markets in Central Europe : evidence from Poland and Hungary

Chmielewska, Anna - In: Economic and environmental studies : a journal for … 18 (2018) 2, pp. 499-513

change was observed both in the correlation and volatility levels for specific market segments, as well as in the market … estimated correlation levels during the post-crisis period. Such findings are consistent with the hypothesis that intermarket …

Persistent link: https://www.econbiz.de/10011874650

Analysis of sectors on Nigeria stock market : evidence from correlation, serial correlation, and heteroscedasticity

Emenike, Kalu O. - In: Journal of contemporary economic and business issues 4 (2017) 2, pp. 21-36

, the paper analyzes the returns correlation, serial correlation and heteroscedasticity on the NSE All-share Index, Banking … from the ACF and LB-Q statistics indicate evidence of serial correlation in majority of the sectors’ returns. Furthermore …

Persistent link: https://www.econbiz.de/10011862130

Correlation asymmetry and implication on hedging

Trabelsi, Abdelwahed; Ennabli, Asma - In: International journal of financial markets and derivatives 6 (2017) 1, pp. 30-56

Persistent link: https://www.econbiz.de/10011862371

Correlation surprise

Kinlaw, Will; Turkington, David - In: The journal of asset management 14 (2013) 6, pp. 385-399

Persistent link: https://www.econbiz.de/10010258478

1
2
3
4
5
6
7
8
9
10
Next
Last