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Volatility as an asset class : obvious benefits and hidden risks
Jabłecki, Juliusz; Kokoszczyński, Ryszard; Sakowski, … - 2015 - 1. ed.
Introduction -- Volatility and its estimation -- Overview of volatility derivatives -- Options delta hedging with no …
Persistent link: https://www.econbiz.de/10010528411
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Gold and exchange rates : downside risk and hedging at different investment horizons
Reboredo, Juan Carlos; Rivera-Castro, Miguel A. - In: International review of economics & finance : IREF 34 (2014), pp. 267-279
Persistent link: https://www.econbiz.de/10010533150
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Dynamic correlations and volatility spillovers between crude oil and stock index returns : the implications for optimal portfolio construction
Lee, Yen-Hsien; Huang, Ya-Ling; Wu, Chun-Yu - In: International Journal of Energy Economics and Policy : IJEEP 4 (2014) 3, pp. 327-336
Persistent link: https://www.econbiz.de/10011286211
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The value added of hedge fund styles in multi-asset protfolios : a new approach based on bull and bear market betas
Heidorn, Thomas; Kaiser, Dieter G.; Lucke, Daniel - In: Review of accounting & finance 12 (2013) 1, pp. 44-59
Persistent link: https://www.econbiz.de/10010126724
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Commodity price correlation and time varying hedge ratios
Lahiani, Amine; Guesmi, Khaled - In: The journal of applied business research 30 (2014) 4, pp. 1053-1061
Persistent link: https://www.econbiz.de/10010400627
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On the effects of world stock market and oil price shocks on food prices : an empirical investigation based on TVP-VAR models with stochastic volatility
Jebabli, Ikram; Arouri, Mohamed; Teulon, Frédéric - In: Energy economics 45 (2014), pp. 66-98
Persistent link: https://www.econbiz.de/10010504792
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Income hedging and portfolio decisions
Bonaparte, Yosef; Korniotis, George M.; Bohara, Alok Kumar - In: Journal of financial economics 113 (2014) 2, pp. 300-324
Persistent link: https://www.econbiz.de/10010479538
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Estimation and arbitrage opportunities for exchange rate baskets
Mercurio, Danilo; Torricelli, Costanza - 2001
currency basket, i.e. a linear combination of foreign currencies. In line with the mean-variance hedging approach, we determine …. The different estimators are compared with profit based criteria. -- exchange rates ; mean-variance hedging ; adaptive …
Persistent link: https://www.econbiz.de/10009613598
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Strategic asset allocation revisited
Laborda, Ricardo; Olmo, Jose - 2015
Persistent link: https://www.econbiz.de/10011412825
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Hedging interest-rate risk with term-structure factor models
Martellini, Lionel; Priaulet, Philippe; Fabozzi, Frank J. - In: The handbook of fixed income securities, (pp. 967-985). 2005
Persistent link: https://www.econbiz.de/10003055173