established that the gasoline supply in the United States (U.S.) must contain 10% ethanol. This work seeks to identify hedging … ratios using dynamic multivariate GARCH to best identify hedging opportunities in a newly developed futures market. The … ability for firms to hedge and regulators to supervise the ethanol futures market is crucial to both hedging potential losses …

, crude oil, gold and currency compared to commodities, bonds and real estate. Furthermore, we test the effective hedging … ability of these funds by estimating hedge ratios and optimal portfolio weights. Taking a short position in the volatility of … the funds provides impeccable hedging effectiveness for all asset classes, except currency …

The implied volatility surface is the collection of volatilities implied by option contracts for different strike … prices and time-to-maturity. We study factor models to capture the dynamics of this three-dimensional implied volatility …

We propose a factor state-space approach with stochastic volatility to model and forecast the term structure of future … stochastic volatility process. Exploiting the conjugacy of the Wishart and the Gaussian distribution, we develop a … individual prices and their volatility. It also shows that this model has a good out-of-sample forecast performance …

countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other … results show that by considering time-varying return and volatility spillovers when calculating the risk-minimising portfolio …This paper investigates the dynamic linkages in terms of the first and second moments between stock and bond returns …

In the academic literature, the economic interpretation of stock market volatility is inherently ambivalent, being … volatility-dependent cross-market spillovers. If higher volatility in one market leads to higher (lower) reactions in another … market, volatility reflects information (uncertainty). We introduce a simultaneous time-varying coefficient model, where …

probability space. In the stochastic variance of the Cox-Ingersoll-Ross process. The Mean-variance hedging expanse on the Föllmer … equivalence. The question arises is of the glaring surfeit in the immersion of the price of risk within the invariant state market … stochastic variance of the Cox-Ingersoll-Ross process. The Mean-variance hedging expanse on the Föllmer-Schweizer decomposition …

"expected precision'' (EP). The EP measures the level of consensus of expectations in the market about future returns … precisions, we define the "precision risk premium" (PRP) that informs about the premium the investors are willing to pay to avoid … Gaussian and relates to the VRP and market returns dynamics. Our result suggests that not only the accuracy but the precision …

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 …