capturing jump contagion for risk management, option pricing, and scenario analysis. …

is hedged. Hedging strategies of currency risk, using exchange rates futures and driven by several multivariate GARCH …This paper investigates dynamic currency hedging benefits, with a further focus on the impact of currency hedging …, British and US assets. We analyze the impact of the model specification to improve the risk-return tradeoff when currency risk …

obtained from conditional variance of returns in stock exchange with GARCH (1,1) model (except Japan stock exchange volatility …Within the scope of this paper, causalities of the US stock market returns and volatilities on stock market …). Japanese stock exchange volatility is gained with ARCH (1) model because of its coefficients' significances. In our study, we …

countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other … results show that by considering time-varying return and volatility spillovers when calculating the risk-minimising portfolio …This paper investigates the dynamic linkages in terms of the first and second moments between stock and bond returns …

The aim of this study is to investigate the possible contagion risk coming from energy, food and metals commodity … markets and to assess risk spillovers from biofuel to food commodity markets and from crude oil to food markets. To this … purpose, we use the delta Conditional Value-at-Risk ΔCoVaR) approach recently proposed by Adrian and Brunnermeier (2016) based …

The aim of this study is to investigate the possible contagion risk coming from energy, food and metals commodity … markets and to assess risk spillovers from biofuel to food commodity markets and from crude oil to food markets. To this … purpose, we use the delta Conditional Value-at-Risk CoVaR) approach recently proposed by Adrian and Brunnermeier (2016) based …

risk metrics computed from a copula-based model of dependence between financial firm returns and financial asset market … returns: climate transition expected returns, climate transition value-at-risk, and climate transition expected shortfall …. Empirical evidence for European financial firms over the period 2013-2020 indicates that the climate transition risk varies …

We study optimal hedging design for returns on an Italian equity mutual fund index since 2008. Alternative hedging … mutual fund index and each hedging instrument to investigate the performance of optimal static hedges. Our main model is the … Markov-switching vector autoregression with duration dependence for the conditional mean of returns proposed by Pegalatti [9 …

equity returns in the aggregate U.S. market, and specifically in the energy sector stocks have changed strongly during the …. For energy sector equities, the dynamics of hedge ratios does not support using either crude oil or gold futures for cross-hedging …

illustrations, EVT and tail-risk modelling, with evidence from market indices and volatility series, the economics of data using … improved risk management during the global financial crisis, the role of banking regulation in an economy under credit risk and … liquidity shock, separating information maximum likelihood estimation of the integrated volatility and covariance with micro …