mean and volatility. The endogenous structural breakpoint unit root test, ARDL model, and alternative volatility models … price while the volatility of global fertilizer prices and crude oil price from March to December 2008 are higher than in …

mean and volatility. The endogenous structural breakpoint unit root test, ARDL model, and alternative volatility models … price while the volatility of global fertilizer prices and crude oil price from March to December 2008 are higher than in …

mean and volatility. The endogenous structural breakpoint unit root test, ARDL model, and alternative volatility models … price while the volatility of global fertilizer prices and crude oil price from March to December 2008 are higher than in …

See the publication in the <I>Journal of Risk and Financial Management</I> (2012). Volume 5(1), pages 78-114.<P> The … volatility. The endogenous structural breakpoint unit root test, ARDL model, and alternative volatility models, including GARCH … the volatility of global fertilizer prices and crude oil price from March to December 2008 are higher than in other …

Hog, corn, and soybean meal futures are shown to be cointegrated, reflecting the close intrinsic relationship of corn …

The CME Globex Corn futures Time and Sales data, during the United States Department of Agriculture, USDA, news, are …

) prices that are related to natural gas stock prices. The volatility spillover effect is the delayed effect of a returns shock … widely-used energy resources worldwide, natural gas has a large daily trading volume. In order to hedge the risk of natural … gas spot markets, a large number of hedging strategies can be used, especially with the rapid development of natural gas …

(namely, the delayed effect of a returns shock in one physical or financial asset on the subsequent volatility or co-volatility …The primary purpose of the paper is to analyze the conditional correlations, conditional covariances, and co-volatility … spillovers between international crude oil and associated financial markets. The paper investigates co-volatility spillovers …

This paper discusses risk-minimizing hedging strategies under affine GARCH models driven by Gaussian innovations. First … first-order Taylor expansion, we relate our hedging strategy to delta hedging and specify an approximation of our formula in … underlying GARCH model, and link it to minimum variance delta hedges in the continuous-time stochastic volatility literature …

frequent convert between cryptocurrency and fiat currency. However, research on fair pricing and hedging for the inverse BTC … option still needs to be completed. In this paper, we conduct dynamic hedging of the inverse BTC options under the Black …-Scholes model and the Heston stochastic volatility (SV) model. In addition, we provide novel formulae of Delta, Gamma, and Vega …