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Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models
Nguyen, Hoang; Virbickaite, Audrone - 2022
propose a new Dynamic Stochastic Mixed data frequency sampling (DSM) copula model, that decomposes the stock-oil relationship … show that investment portfolios, based on the proposed DSM copula model, are more accurate and produce better economic …
Persistent link: https://www.econbiz.de/10013258038
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Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models
Nguyen, Hoang; Virbickaitė, Audronė - In: Energy economics 124 (2023), pp. 1-14
Persistent link: https://www.econbiz.de/10014480067
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Review of Econometric Models Applicable to Hedge Fund Returns Capturing Serial Correlation and Illiquidity
Dubrana, Ludovic - 2011
Hedge Fund returns are often highly serially correlated mainly due to illiquidity exposures given that investments in such securities tend to be inactively traded and associated market prices are not always readily available. Following that, observed returns of such alternative investments tend...
Persistent link: https://www.econbiz.de/10013118101
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What they did not tell you about algebraic (non-)existence, mathematical (ir-)regularity and (non-)asymptotic properties of the full BEKK dynamic conditional covariance model
McAleer, Michael - In: Journal of risk and financial management : JRFM 12 (2019) 2/66, pp. 1-7
Persistently high negative covariances between risky assets and hedging instruments are intended to mitigate against … risk and subsequent financial losses. In the event of having more than one hedging instrument, multivariate covariances …
Persistent link: https://www.econbiz.de/10012022157
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What they did not tell you about algebraic (non-)existence, mathematical (ir-)regularity and (non-)asymptotic properties of the Dynamic Conditional Correlation (DCC) model
McAleer, Michael - In: Journal of risk and financial management : JRFM 12 (2019) 2/61, pp. 1-9
assets and the hedging instruments are intended to mitigate against financial risk and subsequent losses. If there is more … than one hedging instrument, multivariate covariances and correlations have to be calculated. As optimal hedge ratios are …
Persistent link: https://www.econbiz.de/10012022209
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Equity and CDS Sector Indices : Dynamic Models and Risk Hedging
Caporin, Massimiliano - 2012
hedging strategies. In this paper, we take the point of view of an equity investor who wants to hedge the equity risk by … analysis is based on sectorial indices and shows the advantages of hedging and the impact of a model specification …
Persistent link: https://www.econbiz.de/10013105775
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Do Hedge and Merger Arbitrage Funds Actually Hedge? A Time-Varying Volatility Spillover Approach
Papathanasiou, Spyros; Vasiliou, Dimitrios; Magoutas, … - 2021
, crude oil, gold and currency compared to commodities, bonds and real estate. Furthermore, we test the effective hedging … the funds provides impeccable hedging effectiveness for all asset classes, except currency …
Persistent link: https://www.econbiz.de/10013230114
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Hedging Long-Term Liabilities
Quaedvlieg, Rogier - 2019
liabilities. With the aim of hedging long-term liabilities, we estimate variations of a Nelson-Siegel model using swap returns … of the factor loadings in the long end, and are easily beaten by a robust, near MSE-optimal, hedging strategy that …
Persistent link: https://www.econbiz.de/10012903574
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Swapping from Headline to Core Inflation and Commodity Hedging
Fulli-Lemaire, Nicolas - 2014
makers which could price the derivative based on the cross-hedging potential of commodities …
Persistent link: https://www.econbiz.de/10013065713
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Efficient XVA Management : Pricing, Hedging, and Allocation Using Trade-Level Regression and Global Conditioning
Kenyon, Chris - 2014
focus on pricing, hedging, and allocation of prices or hedging costs to desks on an individual trade basis. We show how to …
Persistent link: https://www.econbiz.de/10013040052