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Akademický článek

Volatility spillover among the sectors of emerging and developed markets: a hedging perspective

Publikováno v: Cogent Economics & Finance, Vol 12, Iss 1 (2024)

AbstractThis study empirically investigates the volatility spillover among the sectors of emerging markets, that is, India and China and developed markets, that is, the United Kingdom (UK) and the United States (US). Focusing on financial services, a

Externí odkaz: https://doaj.org/article/bedc2ab0bd144aa29bf22d571d0b63d0

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Akademický článek

Exploring environmental and managerial impacts of crude oil volatility on QUAD financial markets: Insights into dynamic connectedness

Autor: Yadav, Miklesh Prasad ^a, Puri, Neha ^b, Bhatia, Parul ^c, Shore, Adam P. ^{d, ⁎}

Publikováno v: In Journal of Environmental Management January 2025 373

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Akademický článek

Can diversification be improved by using cryptocurrencies? Evidence from Indian equity market

Autor: Jana, Susovon, Sahu, Tarak Nath

Publikováno v: Journal of Financial Economic Policy, 2023, Vol. 15, Issue 6, pp. 551-573.

Externí odkaz: http://www.emeraldinsight.com/doi/10.1108/JFEP-02-2023-0047

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Akademický článek

OPTIMAL HEDGE RATIO OF SUKUK AND ISLAMIC EQUITY: A NOVEL APPROACH

Autor: Bayu Adi Nugroho, Dewi Fiscalina Kusumawardhani

Publikováno v: Journal of Islamic Monetary Economics and Finance, Vol 9, Iss 4, Pp 685-724 (2023)

This research applies a novel model to compute a hedge ratio. Specifically, the model modifies volatility forecasts of an exponentially weighted moving average method to account for the fat-tailed distribution of returns. This simpler model aims to o

Externí odkaz: https://doaj.org/article/1a651f292f22473fbb6d6294cb43a64c

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Akademický článek

Contribution of Exchange Traded Funds in Hedging Crude Oil Price Risk

Autor: Keshab Shrestha, Sheena Sara Suresh Philip, Yessy Peranginangin

Publikováno v: American Business Review, Vol 26, Iss 1, Pp 203-225 (2023)

In this study, we empirically analyze the contributions of three crude oil-based exchange traded funds (ETFs) and the futures contract in hedging crude oil price risk. In order to measure hedging contributions of ETFs, we estimate the usual minimum v

Externí odkaz: https://doaj.org/article/6cba94cce73f4128a3891fc021dc45d2

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Akademický článek

Sustainable and responsible investment dynamic cross-asset portfolio

Autor: Robiyanto Robiyanto, Andrian Dolfriandra Huruta, Budi Frensidy, Ashalia Fitri Yuliana

Publikováno v: Cogent Business & Management, Vol 10, Iss 1 (2023)

AbstractNowadays, the ESG-oriented portfolios are very popular. This study aims to study the performance of cross-asset portfolios between eco-friendly stocks (represented by Sri-Kehati index) with cryptocurrencies, bonds and gold. The data used in t

Externí odkaz: https://doaj.org/article/72176cf86bc64f338e8726bdc4fe4005

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Akademický článek

Application of Kalman Filter to Estimate Dynamic Hedge Ratio in Pairs Trading Strategy: A Case Study of the Automobile Industry

Autor: Mohammad Javad Nourahmadi, Marziyeh Norahmadi

Publikováno v: تحقیقات مالی, Vol 25, Iss 1, Pp 63-87 (2023)

Objective: Pairs trading strategies have been around since the mid-1980s and have gained widespread acceptance in recent years. A pairs trading strategy is one of the forms of statistical arbitrage done to make a profit. It bases on the return relate

Externí odkaz: https://doaj.org/article/529b1854ba5341608b42d3fdd54ee5ed

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