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allocation and risk management require estimates of the volatility of these factors. While realized volatility has become a …
Persistent link: https://www.econbiz.de/10011860248
and risk features than very simple and very complex models. Combinations of two strategies help, in particular, to reduce … risk features like volatility and largest loss, which indicates that complete densities provide useful information for risk. …
Persistent link: https://www.econbiz.de/10011563065
term spread indicators, as determinants of the long-term risk of aggregated future asset prices. However, the subsequent …
Persistent link: https://www.econbiz.de/10013289776
a strong positive relation to conditional international equity and currency risk premia, as well as a close link to …
Persistent link: https://www.econbiz.de/10012487677
This paper examines the effectiveness of using futures contracts as hedging instruments of: (1) alternative models of volatility for estimating conditional variances and covariances; (2) alternative currencies; and (3) alternative maturities of futures contracts. For this purpose, daily data of...
Persistent link: https://www.econbiz.de/10013113663
The paper examines the performance of four multivariate volatility models, namely CCC, VARMA-GARCH, DCC and BEKK, for the crude oil spot and futures returns of two major benchmark international crude oil markets, Brent and WTI, to calculate optimal portfolio weights and optimal hedge ratios, and...
Persistent link: https://www.econbiz.de/10013149486
accurate risk forecasts, but also potentially reduces the regulatory capital requirements during periods of distress. In terms … than the equally weighted portfolio and all competing models. Finally, the regime forecasts are employed in a dynamic risk … control strategy that avoids most losses during the fi nancial crisis and vastly improves risk-adjusted returns …
Persistent link: https://www.econbiz.de/10012051878
-C-MGARCH) model of Fülle and Herwartz (2021). As an empirical illustration we take the perspective of a risk averse agent and employ … risk forecasting for daily returns over 10 years for heterogeneous market environments including, for example, the COVID-19 …
Persistent link: https://www.econbiz.de/10013405757
of volatility in finance for portfolio allocation, derivative pricing and risk management. The method has a two …
Persistent link: https://www.econbiz.de/10011568279
volatility. This empirical phenomenon is shown to arise within a tractable accounting-based valuation model that allows for risk …
Persistent link: https://www.econbiz.de/10012855869