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Empirical evidences on the interconnectedness between sampling and asset returns' distributions
Orlando, Guiseppe; Bufalo, Michele - In: Risks : open access journal 9 (2021) 5, pp. 1-35
The aim of this work was to test how returns are distributed across multiple asset classes, markets and sampling frequency. We examine returns of swaps, equity and bond indices as well as the rescaling by their volatilities over different horizons (since inception to Q2-2020). Contrarily to some...
Persistent link: https://www.econbiz.de/10012596311
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The nexus between stock returns of oil companies and oil price fluctuations after heavy oil upgrading: Toward theoretical progress
Sedigh, Mojtaba; Mohammadi, Majid; Farahani Fard, Saeed; … - In: Economies 7 (2019) 3, pp. 1-17
This study attempts to discover the nexus between crude oil price fluctuation after heavy oil upgrading and stock returns of petroleum companies in the U.S. Stock Exchange for the years 2008 to 2018. One of the methods of upgrading heavy crude oil is to extract asphaltene from crude oil....
Persistent link: https://www.econbiz.de/10013199583
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Empirical evidences on the interconnectedness between sampling and asset returns' distributions
Orlando, Guiseppe; Bufalo, Michele - In: Risks 9 (2021) 5, pp. 1-35
The aim of this work was to test how returns are distributed across multiple asset classes, markets and sampling frequency. We examine returns of swaps, equity and bond indices as well as the rescaling by their volatilities over different horizons (since inception to Q2-2020). Contrarily to some...
Persistent link: https://www.econbiz.de/10013200756
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International Portfolio Diversification: Evidence from European Emerging Markets
Hourvouliades, Nikolaos L. - In: European Research Studies Journal XII (2009) 4, pp. 55-78
-run cointegration and correlation analyses that yield mixed results concerning the markets’ relationships. We switch to a dynamic model …
Persistent link: https://www.econbiz.de/10008515056
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Value-at-Risk: Risk assessment for the portfolio of oil and gas producers
Asche, Frank; Dahl, Roy Endre; Oglend, Atle - Handelshøgskolen, Universitetet i Stavanger - 2013
During the last decade, Value-at-Risk (VaR) has become the most common tool to measure the exposure to short term financial risk for companies in the oil industry, in common with most other sectors. However, VaR has been criticized after the financial crisis for providing too optimistic risk...
Persistent link: https://www.econbiz.de/10010818596
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Forecasting volatility in European stock markets with non-linear GARCH models
Forte, Gianfranco; Manera, Matteo - 2002
This paper investigates the forecasting performance of three popular variants of the non-linear GARCH models, namely VS-GARCH, GJR-GARCH and Q-GARCH, with the symmetric GARCH(1,1) model as a benchmark. The application involves ten European stock price indexes. Forecasts produced by each...
Persistent link: https://www.econbiz.de/10011335762
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Leverage effect in energy futures
Kristoufek, Ladislav - 2014
We propose a comprehensive treatment of the leverage effect, i.e. the relationship between returns and volatility of a … estimating the volatility process without assuming any specific form of its behavior, we find the volatility to be long … detrended cross-correlation and the detrending moving-average cross-correlation coefficients and we find the standard leverage …
Persistent link: https://www.econbiz.de/10010407507
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A Noise-Robust Estimator of Volatility Based on Interquantile Ranges
Yeh, Jin-Huei - 2010
Inter-Quantile-Range-based volatility (IQRBV), to estimate the integrated daily volatility. As the range-based volatility …
Persistent link: https://www.econbiz.de/10013138933
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Stochastic Volatility of Volatility and Variance Risk Premia
Barndorff-Nielsen, Ole E. - 2011
This paper introduces a new class of stochastic volatility models which allows for stochastic volatility of volatility … (SVV): Volatility modulated non-Gaussian Ornstein-Uhlenbeck (VMOU) processes. Various probabilistic properties of …
Persistent link: https://www.econbiz.de/10013117444
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Enhanced Valuation of European Options Under Jump Processes and Innovative Characterization of Implied Volatility Smile
Dubrana, Ludovic - 2011
volatility and its curve resembles a smile, meaning that the introduction of jumps is quantified via a smile according to implied … volatility. In order to derive such an implied volatility smile, an iterative search procedure referred to as the Newton …-Raphson algorithm is proposed. Numerical experiments of both the in-house pricing formula and its implied volatility recursive algorithm …
Persistent link: https://www.econbiz.de/10013118115