currency hedge in the presence of non-constant volatility and correlation. It is shown that implementation of the dynamic …

In this paper, we challenge the traditional assumption of a linear relationship between exchange rate volatility and … volatility positively and significantly influences economic growth when growth in government spending is below 6 percent. Above … this 6 percent threshold, volatility exerts an insignificant effect on economic growth. In light of the adoption of a free …

We propose different schemes for option hedging when asset returns are modeled using a general class of GARCH models … probability measure in this setting, we construct local risk minimization hedging strategies with respect to a pricing kernel … schemes. We also test the sensitivity of the hedging strategies with respect to the risk neutral measure used by recomputing …

prices, returns and volatility of related agricultural commodities. Analyzing the spillover effects on agricultural …. The purpose of this paper is to examine the volatility spillovers for spot and futures returns on bio-ethanol and related … agricultural commodities, specifically corn and sugarcane, using the multivariate diagonal BEKK conditional volatility model. The …

The primary purpose of the paper is to analyze the conditional correlations, conditional covariances, and co-volatility … spillovers between international crude oil and associated financial markets. The paper investigates co-volatility spillovers … (namely, the delayed effect of a returns shock in one physical or financial asset on the subsequent volatility or co-volatility …

established that the gasoline supply in the United States (U.S.) must contain 10% ethanol. This work seeks to identify hedging … ratios using dynamic multivariate GARCH to best identify hedging opportunities in a newly developed futures market. The … ability for firms to hedge and regulators to supervise the ethanol futures market is crucial to both hedging potential losses …

This paper discusses risk-minimizing hedging strategies under affine GARCH models driven by Gaussian innovations. First … first-order Taylor expansion, we relate our hedging strategy to delta hedging and specify an approximation of our formula in … underlying GARCH model, and link it to minimum variance delta hedges in the continuous-time stochastic volatility literature …

We are the first to study the pricing and hedging of VIX options via Monte Carlo (MC) under GARCH(1,1) and Glosten …

This paper examines the effectiveness of using futures contracts as hedging instruments of: (1) alternative models of … volatility for estimating conditional variances and covariances; (2) alternative currencies; and (3) alternative maturities of …, Euro, British pound and Japanese yen, against the American dollar, are used to analyze hedge ratios and hedging …