We analyze a consistent two-factor model for pricing temperature derivatives that incorporates the forward looking information available in the market by specifying a model for the dynamics of the complete meteorological forecast curve. The two-factor model is a generalization of the...

This study examines the hedging effectiveness of financial innovations against crude oil investment risks, both before and during the COVID-19 pandemic. We focus on the non-energy exchange traded funds (ETFs) as proxies for financial innovations given the potential positive correlation between...

Most research on option hedging has compared the performance of delta hedges derived from different stochastic volatility models with Black-Scholes-Merton (BSM) deltas, and in particular with the 'implied BSM' model in which an option's delta is based on its own market implied volatility....

Using a regime switching model, this study analyzes the nature of gold hedging benefits from the perspective of an individual investor who may choose to invest in a portfolio of: a) Index Futures, b) T-note Futures, c) Oil Futures and d) Gold Futures. Empirical findings support the argument that...

Exchange-traded products (ETPs) linked to futures contracts on the CBOE S&P 500 Volatility Index (VIX) have grown in volume and assets under management in recent years, in part because of their perceived potential to hedge against stock market losses. In this paper we study whether VIX-related...

During the recent European sovereign debt crisis, returns on EMU government bond portfoli-os experienced substantial volatility clustering, leptokurtosis and skewed returns as well as correlation spikes. Asset managers invested in European government bonds had to derive new hedging strategies to...

Using NCRIEF farmland and timberland smoothed indices over the period from 1992Q1 to 2012Q3 and a new de-smoothing approach offered by Fisher et al. (1994), we explore the mean-variance diversification features of farmland and timberland assets. Our empirical results show that diversification...

This study examines the hedging effectiveness of financial innovations against crude oil investment risks, both before and during the COVID-19 pandemic. We focus on the non-energy exchange traded funds (ETFs) as proxies for financial innovations given the potential positive correlation between...

With continued strong inflows into hedge fund strategies, it is imperative for researchers to study if hedge funds are still worth their high fees. In an updated and comprehensive study covering both North American and Asian hedge funds, we find market risk factors explain up to 81% of hedge...

Against the backdrop of the Covid-19 pandemic, this study explores the hedging and safe-haven potential of green bonds for conventional equity, fixed income, commodity, and forex investments. We use the cross-quantilogram approach that provides a better understanding of the dynamic relationship...