In this paper we investigate price and volatility risk originating in linkages between energy and agricultural commodity prices in Germany and study their dynamics over time. We propose an econometric approach to quantify the volatility and correlation risk structure, which has a large impact...

A regime-switching Levy framework, where all parameter values depend on the value of a continuous time Markov chain as per Chevallier and Goutte (2017), is employed to study US Corporate Option-Adjusted Spreads (OASs). For modelling purposes we assume a Normal Inverse Gaussian distribution,...

The stock market is widely viewed as being more volatile these days. This paper examines that perception using data from the past 40 years. It finds surprising consistency across years in the number of days the market closes up and down. In an average year the market closes down 47% of all...

In the aftermath of the credit and banking crises, VIX-based ETNs have gained in popularity among under-diversified market participants since traditional diversification channels became less effective due to increasing correlations. Since then, VIX investing has attracted much heated debate...

In present study, I explore intraday behavior of stock prices. In particular, I try to shed light on the dynamics of stock price reversals and namely, on the short-term character the latter may possess. For each of the stocks currently making up the Dow Jones Industrial Index, I calculate...

I build a price-ratio model based on the Campbell and Shiller (1988) decomposition to test which components of investor expectations best explains cross-sectional price differences. I evaluate the in- and out-of-sample performance of my model, which uses a higher-order expansion with an added...

This study investigates the time-varying return spillovers among the gold and oil markets and the Chinese equity subsectors using a network system representation. The results of the statics analysis show that crude oil and the majority of equity sectors are the net transmitters of spillovers in...

In present study, I explore intraday behavior of stock prices. In particular, I try to shed light on the dynamics of stock price reversals and namely, on the short-term character the latter may possess. For each of the stocks currently making up the Dow Jones Industrial Index, I calculate...

The risk of infrastructure investments is driven by unique factors that cannot be well described by standard asset class factor models. We thus create a nine-factor model based on infrastructure-specific risk exposure, i.e., market risk, size, value, momentum, cashflow volatility, leverage,...

Buy-Write and Put-Write strategies have been shown to match market returns with lower volatility resulting in higher risk-adjusted performance. The strategies benefit from the fact that implied volatility of options is generally higher than actual realized volatility. In this paper we show that...