In this paper the performance of locally risk-minimizing hedge strategies for European options in stochastic volatility models is studied from an experimental as well as from an empirical perspective. These hedge strategies are derived for a large class of diffusion-type stochastic volatility...

This paper investigates the use of the asymptotic Heston solution in locally risk minimizing hedging. The asymptotic Heston solution is presented along with issues that are relevant to its use. Comparison between the exact and asymptotic Heston hedges are made using both simulated and real...

On BHPS data we measure various indices of social capital at the individual and household level, and use them as explanatory variables in standard consumption insurance tests. We find that two out of three aspects of social capital positively impact on consumption smoothing, by reducing the...

Gegenstand der Studie ist die Quantifizierung des gleichsam automatischen Einflusses der wirtschaftlichen Entwicklung auf einzelne Budgetkomponenten und das Budget insgesamt, um den Effekt einer hypothetischen Änderung in der Entwicklung des Outputs auf das Budget und das Defizit abzuschätzen...

This study examines the effects of oil supply and global demand shocks on the volatility of commodity prices in the metal and agricultural commodity markets using the SVAR model. The empirical evidence is based on real time daily closing international commodity prices covering the period 2...

Gegenstand der Studie ist die Quantifizierung des gleichsam automatischen Einflusses der wirtschaftlichen Entwicklung auf einzelne Budgetkomponenten und das Budget insgesamt, um den Effekt einer hypothetischen Änderung in der Entwicklung des Outputs auf das Budget und das Defizit abzuschätzen...

This work presents a robust empirical approach to dealing with the issue of the long run relationship between macroeconomic volatility, consumption behaviour and welfare for a large sample of countries. Differing from previous works, our empirical strategy is grounded on consumption and takes...

In this paper we investigate how the progress of market-oriented reforms such as privatization affects stock return volatility and how this impact varies with the level of economic development. We show that privatization is related to volatility via political risk. Indeed, a privatization...

This paper departs from the traditional aid — economic growth studies through its examination of the impact of aid and its volatility on sectoral growth by relying on panel dataset of 37 sub-Saharan African (SSA) countries for the period 1980-2014. Findings from our system generalised methods...