agricultural commodities, specifically corn and sugarcane, using the multivariate diagonal BEKK conditional volatility model. The … market, there were significant negative co-volatility spillover effects, specifically corn on subsequent sugarcane co-volatility … with corn, and sugarcane on subsequent corn co-volatility with sugarcane. In the other 4 cases, there are no significant co-volatility …

We adopt Schwartz and Smith’s model (2000) to calculate risk measures of Brent oil futures contracts and light sweet … crude oil (WTI) futures contracts and Mirantes, Poblacion and Serna’s model (2012) to calculate risk measures of natural gas … models provide satisfactory risk measures for listed energy commodity futures contracts. A simple estimation method …

introduce a definition of geopolitical risk which is based on volatility shocks to a wide range of financial market prices. To … measure geopolitical risk, we propose a statistical model for the magnitude of the common volatility shocks. Accordingly, a … innovations to volatilities are correlated across assets and therefore can be used to measure and hedge geopolitical risk. We …

) approach to evaluating the hedging effectiveness of clean energy stocks. The out-of-sample forecast evaluations of the oil risk … Brent volatility) and climate risk (climate policy uncertainty and energy and environmental regulation) as predictors. It …-based and climate risk-based clean energy predictive models are explored using Clark and West's model (2007) and a modified …

This paper estimates a bivariate HEAVY system including daily and intra-daily volatility equations and its macro …-augmented asymmetric power extension. It focuses on economic factors that exacerbate stock market volatility and represent major threats to … commodity markets on stock market realized volatility. Specifically, Economic Policy Uncertainty is shown to be one of the main …

forest. In contrast to conventional random forests that approximate the volatility nonparametrically using local averaging … coefficients to depend on idiosyncratic stock information and overall changing market conditions. We observe superior risk … significantly higher utility for volatility managed portfolios. Superior forecast performance is especially pronounced for firms …

cor-relations and volatility spillovers between crude oil and stock index returns, pricing exotic options using the Wang … sector indices: dy-namic models and risk hedging, the probability of default in collateralized credit oper-ations, risk …Risk management is crucial for optimal portfolio management. One of the fastest growing areas in empirical finance is …

serves as a risk management tool for all of the cities in the same climatic zone, we compare the risk hedging power between …) contract, is introduced. The objective is to increase the risk management efficiency in the agricultural sector of China and to …

The complexity of managing physical and financial risk throughout the commodity production, processing and … Transaction Risk Management (E/CTRM) systems. Still, risk management functionality within these systems is reported as falling … short of requirements. Our discussion, in response, provides an economic framework for developing commodity risk policy and …

products break down. So, we provide an estimation of the basis risk that arises when hedging credit portfolios with different …The financial crisis has raised concerns throughout the industry on the possibility that hedging credit valuation … credit indices, to answer the following questions: Is there enough diversification of risk in a global credit portfolio to …