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Hedge effectiveness of put replication, gold, and oil on ASEAN-5 equities

Robiyanto, Robiyanto; Nugroho, Bayu Adi; Handriani, Eka; … - In: Financial innovation : FIN 6 (2020) 53, pp. 1-29

-related portfolio should diversify to Philippine equity. From hedging effectiveness and risk-adjusted-performance perspectives, oil is …

Persistent link: https://www.econbiz.de/10012418412

Identifying Volatility Risk Premia from Fixed Income Asian Options

Almeida, Caio - 2018

Fixed income Asian options are frequently adopted by companies to hedge interest rate risk. Having a payoff structure depending on the cumulative short-term rate makes them particularly informativeabout interest rate volatility risk. Based on a joint dataset of bonds and Asian interest rate...

Persistent link: https://www.econbiz.de/10012924537

Bank Capital, Credit Market Frictions and International Shocks Transmission

Kopoin, Alexandre - 2014

Recent empirical evidence suggests that the state of banks' balance sheets plays an important role in the transmission of monetary policy and other shocks. This paper presents an international DSGE framework with credit market frictions and an active bank capital channel to assess issues...

Persistent link: https://www.econbiz.de/10013062218

Inflation, Business Cycles, and Commodity Investing in Financialized Markets

Zaremba, Adam - 2015

the business cycle. Fourth, it proves that the commodities retained their inflation hedging abilities in the financialized …

Persistent link: https://www.econbiz.de/10013034279

Hedging long run commitments : exercises in incomplete market pricing

Ross, Stephen A. - In: Economic notes : economic review of Banca Monte dei … 26 (1997) 2, pp. 385-420

Persistent link: https://www.econbiz.de/10001337736

A call on Art investments

Kräussl, Roman; Wiehenkamp, Christian - 2010

investors and the hedging of exposures remains dificult. This paper proposes to overcome these problems by introducing a call … hedging risk. Even if this is not entirely possible, the replication approach serves as pricing benchmark for investors who …

Persistent link: https://www.econbiz.de/10003947461

Hedging cryptos with Bitcoin futures

Liu, Francis; Packham, Natalie; Lu, Meng-Jou; Härdle, … - 2021 - This version: December 16, 2021

hedge ratio. Extensive out-of-sample tests give insights in the practice of hedging various cryptos and crypto indices … dependence structures between BTC-not-involved assets and the futures. As a consequence, results of hedging other assets and …

Persistent link: https://www.econbiz.de/10012797474