Zobrazeno 1 - 10
of 23
pro vyhledávání: '"Nikos C. Papapostolou"'
Publikováno v:
The Energy Journal. 45
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ee8ce08c846524f91e4d6336448fa6bc
https://doi.org/10.5547/01956574.44.6.ppou
https://doi.org/10.5547/01956574.44.6.ppou
Publikováno v:
Journal of Futures Markets. 38:1407-1439
This paper examines the role of commodit ies from the perspective of dynamic asset allocation. W e model conditional second moments of st ock, bond and commodity futures and examine their impact on the portfolio choice decision of a risk-averse inves
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::56ca586915d08261f71ee55647271d73
https://doi.org/10.1002/fut.21939
https://doi.org/10.1002/fut.21939
Publikováno v:
Transportation Research Part E: Logistics and Transportation Review. 108:80-96
We develop an accurate valuation setup for freight options, featuring an exponential meanreverting model for the freight rate with distinct reversion scales for its jump and diffusion components. We calibrate to Baltic option prices and analyze the f
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d9e2190d5f0c3cdeca38686c86f0889a
https://doi.org/10.1016/j.tre.2017.09.002
https://doi.org/10.1016/j.tre.2017.09.002
Publikováno v:
Transportation Research Part E: Logistics and Transportation Review
We examine whether investors herd in their decision to order or scrap vessels in the drybulk market. We decompose herding into unintentional and intentional, and test for herd behavior under asymmetric effects with respect to freight market states, c
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ec206e6af03d871d3aea8f505e9b1bfa
https://doi.org/10.1016/j.tre.2017.05.007
https://doi.org/10.1016/j.tre.2017.05.007
Publikováno v:
European Financial Management. 24:387-417
We develop a coherent framework for the valuation of real assets and determination of the optimal time to invest. To this end, we model the stochastic nature of income and develop methodologies for valuing traded derivatives to facilitate model calib
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7ef3ad313dd6734cb2844a195d871122
https://doi.org/10.1111/eufm.12132
https://doi.org/10.1111/eufm.12132
This paper examines dynamic hedges in the natural gas futures markets for different horizons and explores the gains from devising risk management strategies. Despite the substantial progress made in developing hedging models, forecast combinations ha
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::761bff071deae65af9527d985adb0b69
https://openaccess.city.ac.uk/id/eprint/22912/1/RskMgmtGas_PKP_IDV_NCP_AAK.pdf
https://openaccess.city.ac.uk/id/eprint/22912/1/RskMgmtGas_PKP_IDV_NCP_AAK.pdf
Publikováno v:
Quantitative Finance. 16:1859-1873
Crude oil derivatives form an important part of the global derivatives market. In this paper, we focus on Asian options which are favoured by risk managers being effective and cost-saving hedging instruments. The paper has both empirical and theoreti
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7e93bed3ec7ea2fcdc2bb343d7b8ae5e
https://doi.org/10.1080/14697688.2016.1211798
https://doi.org/10.1080/14697688.2016.1211798
Publikováno v:
Tourism Management. 77:104011
The aim of this paper is to analyze the performance of hedging strategies based on snow and temperature options developed by ski operators to protect their profitability under adverse changes in climatic conditions. The setup is based on a joint non-
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c178b49b8859ec3d68b9939a75aea653
https://doi.org/10.1016/j.tourman.2019.104011
https://doi.org/10.1016/j.tourman.2019.104011
Publikováno v:
SSRN Electronic Journal.
This paper investigates the dynamics of stock price volatility for different vessel-type segments of the U. S, water transportation industry . We measure market exposure by a portfolio of tanker, dry bulk, container, and gas stocks to examine tail be
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::4c203c1ec991ce4f1ef55a694ec4d362
https://doi.org/10.2139/ssrn.3331553
https://doi.org/10.2139/ssrn.3331553
Using shipping sentiment proxies that capture market expectations, valuation, and liquidity, we investigate the role of investor sentiment in the dry bulk sector. This chapter highlights the importance of incorporating the time evolution of market op
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e95a3aff74d70056f65f40d8aa688393
https://doi.org/10.1016/b978-0-12-813830-4.00005-8
https://doi.org/10.1016/b978-0-12-813830-4.00005-8