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The Minimum-CVaR strategy with semi-parametric estimation in carbon market hedging problems
Chai, Shanglei; Zhou, Peng - In: Energy economics 76 (2018), pp. 64-75
Persistent link: https://www.econbiz.de/10011976584
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Differences in carbon risk spillovers with green versus traditional assets : evidence from a full distributional analysis
Duan, Kun; Yang, Liu; Yan, Cheng; Huang, Yingying - In: Energy economics 127 (2023) 1, pp. 1-15
Persistent link: https://www.econbiz.de/10014488701
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Forecasting carbon prices under diversified attention : a dynamic model averaging approach with common factors
Zhang, Zhikai; Wang, Yudong; Zhang, Yaojie; Wang, Qunwei - In: Energy economics 133 (2024), pp. 1-16
Persistent link: https://www.econbiz.de/10015049680
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Interest rate risk estimation : a new duration-based approach
Bajo, Emanuele; Barbi, Massimiliano; Hullier, David - In: Applied economics 45 (2013) 19/21, pp. 2697-2704
Persistent link: https://www.econbiz.de/10010189364
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Does the failure of the expectations hypothesis matter for long-term investors?
Sangvinatsos, Antonios; Wachter, Jessica - In: The journal of finance : the journal of the American … 60 (2005) 1, pp. 179-230
Persistent link: https://www.econbiz.de/10002645642
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Does the failure of the expectations hypothesis matter for long-term investors?
Sangvinatsos, Antonios; Wachter, Jessica - 2003
Persistent link: https://www.econbiz.de/10001826472
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Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors
Sangvinatsos, Antonios - 2003
exist multiple pricing kernels that produce the same bond prices, but a unique pricing kernel equal to the marginal utility …, and estimate the model with both inflation and term structure data. The estimates imply that the bond portfolio for the … changes in term premia generates large hedging demands for long-term bonds …
Persistent link: https://www.econbiz.de/10012468608
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The role of catastrophe bonds in an international multi-asset portfolio : diversifier, hedge, or safe haven?
Drobetz, Wolfgang; Schröder, Henning; Tegtmeier, Lars - In: Finance research letters 33 (2020), pp. 1-7
Persistent link: https://www.econbiz.de/10012430896
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Interest Rate Risk of Zero-Coupon Bond Prices on National Stock Exchange (NSE) – Empirical Test of the Duration, Modified Duration, Convexity and Immunization Risk
Maleki Nia, Nahid - 2019
related indirectly and insignificantly to the immunization risk inherent in a bond portfolio. The main goal of this study is …
Persistent link: https://www.econbiz.de/10012864002
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Optimal hedge ratios for the Mexican stock market index futures contract : a multivariate GARCH approach
Santillán Salgado, Roberto Joaquín; Escobar, Luis Jacob; … - In: Economía teoría y práctica 28 (2020) 53, pp. 201-238
Persistent link: https://www.econbiz.de/10012617905