This paper examines the inflation-hedging behavior of the Hong Kong securitized real estate market between April 1986 and April 2007. The monthly series of the Hang Seng Property Index (HSPI) is selected as the proxy of the Hong Kong securitized real estate market due to its comprehensive...

This paper contributes to apply the time-varying symmetrized Joe-Clayton copula to study the dynamic linkage among possible safe haven assets in the international major markets over the past 34 years. We re-examine four major asset types (long-term government bond, equity index, oil, and gold)...

We highlight the loss-averse property of general investors and propose a new ranking criterion, conditional stochastic dominance (CSD), at the first two orders. We discuss the definitions and propositions. We also introduce an example to show that CSD provides intuitive ranking but not the...

This paper presents the use of three multivariate skew distributions (Generalized Hyperbolic distribution, multivariate skew normal distribution, and multivariate skew t distribution) for estimating minimum variance hedge ratio in a dynamic setting. Three criteria for measuring hedge...

This paper introduces the use of three multivariate skew distributions (Generalized Hyperbolic distribution, multivariate skew normal distribution, and multivariate skew t distribution) for estimating the minimum variance hedge ratio in a dynamic setting. Three criteria for measuring hedge...

This study employs L-comoments introduced by Serfling and Xiao (2007) into portfolio Value-at-Risk estimation through two models: the Cornish-Fisher expansion (Draper and Tierney 1973) and modified VaR (Zangari 1996). Backtesting outcomes indicate that modified VaR outperforms and L-comoments...