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Volatility versus downside risk : performance protection in dynamic portfolio strategies
Barro, Diana; Canestrelli, Elio; Consigli, Giorgio - In: Computational Management Science : CMS 16 (2019) 3, pp. 433-479
Persistent link: https://www.econbiz.de/10012053148
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CVA with wrong way risk : sensitivities, volatility and hedging
El Hajjaji, Omar; Subbotin, Alexander - In: International journal of theoretical and applied finance 18 (2015) 3, pp. 1-31
Persistent link: https://www.econbiz.de/10011403747
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The microeconomics of agricultural price risk
Boyd, Chris M.; Bellemare, Marc F. - In: Annual review of resource economics 12 (2020), pp. 149-169
Persistent link: https://www.econbiz.de/10012404666
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Does Bitcoin hedge commodity uncertainty?
Hoang, Khanh; Nguyen, Cuong; Poch, Kongchheng; Nguyen, … - In: Journal of risk and financial management : JRFM 13 (2020) 6/119, pp. 1-14
This paper examines the connectedness between Bitcoin and commodity volatilities, including oil, wheat, and corn, during the period Oct. 2013-Jun. 2018, using time- and frequency-domain frameworks. The time-domain framework's results show that the connectedness is 23.49%, indicating a low level...
Persistent link: https://www.econbiz.de/10012305145
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Gold price dynamics and the role of uncertainty
Beckmann, Joscha; Berger, Theo; Czudaj, Robert - 2017
prices are directly affected by changes in uncertainty. Analyzing data for nine economies for a sample period starting in … shield investors. Uncertainty measures display a surprising and time-varying relationship with the path of the gold price …. While economic policy uncertainty is positively correlated with gold price developments, macroeconomic uncertainty and …
Persistent link: https://www.econbiz.de/10011776948
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Hedging volatility risk
Brenner, Menachem; Ou, Ernest Y.; Zhang, Jin E. - In: Journal of banking & finance 30 (2006) 3, pp. 811-821
Persistent link: https://www.econbiz.de/10003300389
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Market volatility and the dynamic hedging of multi-commodity price risk
Power, Gabriel J.; Vedenov, Dmitry V.; Anderson, David P.; … - In: Applied economics 45 (2013) 25/27, pp. 3891-3903
Persistent link: https://www.econbiz.de/10010345840
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Variance swaps, non-normality and macroeconomic and financial risks
Nieto Domenech, Belen; Novales, Alfonso; Rubio, Gonzalo - In: The quarterly review of economics and finance : journal … 54 (2014) 2, pp. 257-270
Persistent link: https://www.econbiz.de/10010467548
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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
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Risk value analysis of covered short call and protective put portfolio strategies
Adam, Michael; Maurer, Raimond - In: Finanzmarkt und Portfolio-Management 13 (1999) 4, pp. 431-449
Persistent link: https://www.econbiz.de/10001517964