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Hedging options in GARCH environment : testing the term structure of stochastic volatility models

Engle, Robert F.; Rosenberg, Joshua V. - 1994

Persistent link: https://www.econbiz.de/10000147446

Hedging options in a GARCH environment : testing the term structure of stochastic volatility models

Engle, Robert F.; Rosenberg, Joshua V. - 1994

Persistent link: https://www.econbiz.de/10000904203

GARCH gamma

Engle, Robert F. - 1995

Persistent link: https://www.econbiz.de/10000911609

Testing the volatility term structure using option hedging criteria

Engle, Robert F.; Rosenberg, Joshua V. - 1998

Persistent link: https://www.econbiz.de/10000982921

Option hedging using empirical pricing kernels

Rosenberg, Joshua V.; Engle, Robert F. - 1997

Persistent link: https://www.econbiz.de/10000970980

GARCH gamma

Engle, Robert F.; Rosenberg, Joshua V. - 1995

Persistent link: https://www.econbiz.de/10000915837

Option hedging using empirical pricing kernels

Rosenberg, Joshua V.; Engle, Robert F. - 1997

Persistent link: https://www.econbiz.de/10000643460

GARCH gamma

Engle, Robert F. - In: The journal of derivatives : the official publication … 2 (1995) 4, pp. 47-59

Persistent link: https://www.econbiz.de/10001223170

Hedging climate change news

Engle, Robert F.; Giglio, Stefano; Kelly, Bryan T.; … - 2019

Persistent link: https://www.econbiz.de/10012015507

Hedging climate change news

Engle, Robert F.; Giglio, Stefano; Lee, Heebum; Kelly, … - 2019 - This version: May 7, 2019

We propose and implement a procedure to dynamically hedge climate change risk. We extract innovations from climate news series that we construct through textual analysis of newspapers. We then use a mimicking portfolio approach to build climate change hedge portfolios. We discipline the exercise...

Persistent link: https://www.econbiz.de/10012024377