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Hedging macroeconomic and financial uncertainty and volatility

Dew-Becker, Ian; Giglio, Stefano; Kelly, Bryan T. - 2019

Persistent link: https://www.econbiz.de/10012124936

Hedging macroeconomic and financial uncertainty and volatility

Dew-Becker, Ian; Giglio, Stefano; Kelly, Bryan T. - 2020

Persistent link: https://www.econbiz.de/10012300973

Hedging Macroeconomic and Financial Uncertainty and Volatility

Dew-Becker, Ian - 2019

We study the pricing of shocks to uncertainty and volatility using a novel and wide-ranging set of options contracts. If uncertainty shocks are viewed as bad by investors, portfolios that hedge them should earn negative premia. Empirically, however, such portfolios have historically earned...

Persistent link: https://www.econbiz.de/10012897413

Hedging macroeconomic and financial uncertainty and volatility

Dew-Becker, Ian; Giglio, Stefano; Kelly, Bryan T. - In: Journal of financial economics 142 (2021) 1, pp. 23-45

Persistent link: https://www.econbiz.de/10012650655

Hedging Macroeconomic and Financial Uncertainty and Volatility

Dew-Becker, Ian; Giglio, Stefano; Kelly, Bryan T. - 2021

risks. Portfolios hedging macro uncertainty have historically earned zero or even significantly positive returns, while … a simple extension of the long-run risk model …

Persistent link: https://www.econbiz.de/10013224964

Hedging Macroeconomic and Financial Uncertainty and Volatility

Dew-Becker, Ian - 2019

risks. Portfolios hedging macro uncertainty have historically earned zero or even significantly positive returns, while … a simple extension of the long-run risk model …

Persistent link: https://www.econbiz.de/10012480268

The transmission of US economic policy uncertainty shocks to Asian and global financial markets

Kido, Yosuke - In: The North American journal of economics and finance : a … 46 (2018), pp. 222-231

Persistent link: https://www.econbiz.de/10012036619

Risk spillover from international crude oil markets to China's financial markets : evidence from extreme events and U.S. monetary policy

Changqing, Luo; Qu, Yi; Su, Yaya; Dong, Liang - In: The North American journal of economics and finance : a … 70 (2024), pp. 1-20

Persistent link: https://www.econbiz.de/10014491934

Model risk and option hedging

Giannetti, Antoine; Clark, John M.; Anderson, Randy I. - In: The quarterly review of economics and finance : journal … 44 (2004) 5, pp. 659-677

Persistent link: https://www.econbiz.de/10002468179

Market risk and model risk for a financial institution writing options

Green, Tracy Clifton; Figlewski, Stephen - In: The journal of finance : the journal of the American … 54 (1999) 4, pp. 1465-1499

Persistent link: https://www.econbiz.de/10001395780

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