We propose and backtest a multivariate Value-at-Risk model for financial returns based on Tukey's g-and-h distribution. This distributional assumption is especially useful if (conditional) asymmetries as well as heavy tails have to be considered and fast random sampling is of importance. To...

This study examines the conditional volatility and correlation dependency and interdependency for the four major precious metals (that is, gold, silver, platinum and palladium), while accounting for geopolitics within a multivariate system. The implications of the estimated results for portfolio...

Classical quantitative finance models such as the Geometric Brownian Motion or its later extensions such as local or stochastic volatility models do not make sense when seen from a physics-based perspective, as they are all equivalent to a negative mass oscillator with a noise. This paper...

We investigate the time-scale relationships between the ten S&P sectors and the market through the use of wavelet analysis, a methodology that has widespread acceptance for investigating multi-horizon properties of time series. Our analysis of the data highlights that variation in the pattern of...

This article investigates the effectiveness of TAIEX (Taiwan Stock Exchange) futures, Taiwan 50 futures, and nonfinance nonelectronics subindex (NFNE) futures for cross hedging the price risk of stock sector indices traded on the Taiwan stock exchange. A state-dependent volatility spillover...

Das integrierte Management von Standorten eines globalen Produktionsnetzwerks stellt für eine Vielzahl produzierender Unternehmen heute eine besondere Herausforderung dar. Zwar eröffnen die lokalen Standortvorteile und -fähigkeiten jedes einzelnen Produktionsstandorts einem Unternehmen...

Do investors pay attention to foreign market conditions when they evaluate multinational corporations? Using geographic segment disclosures by US multinational companies, I find that stock prices do not promptly incorporate information regarding changes in foreign market conditions. This, in...