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...

The skewed generalized t (SGT) displays an exceptional ability in modelling the tails of the empirical distributions of returns of financial and other assets. This feature makes it an appealing candidate for the computation of value at risk and expected shortfall measures, used by regulators,...

The paper analyzes the sensitivity of the downside risk of a standard derivatives portfolio to a change in the mean-reversion level of its underlyings. From Monte-Carlo simulation, it is found that the higher the intensity of mean-reversion, the lower the probability of reaching a predetermined...

We analyze the sensitivity of the downside risk of a standard derivatives' portfolio to a change of the mean-reversion level of its underlyings. In a Monte-Carlo simulation, we find that the higher the intensity of mean-reversion, the lower the probability of reaching a pre-determined loss...