Zobrazeno 1 - 10
of 16
pro vyhledávání: '"volatility hedging"'
Publikováno v:
Mathematics, Vol 9, Iss 9, p 1030 (2021)
In the present paper, we test the benefit of using Markov-Switching models and volatility futures diversification in a Euro-based stock portfolio. With weekly data of the Eurostoxx 50 (ESTOXX50) stock index, we forecasted the smoothed regime-specific
Externí odkaz:
https://doaj.org/article/9ef0dda166c5439ba250f5e2afc4c347
Since the introduction of derivatives to the financial markets, volatility trading has emerged as a method for investors to make money in every market condition. In parallel with introducing derivatives to the financial markets, hedging methods have
Externí odkaz:
http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-337191
Publikováno v:
Mathematics
Volume 9
Issue 2
Mathematics, Vol 9, Iss 185, p 185 (2021)
Biblos-e Archivo. Repositorio Institucional de la UAM
instname
Volume 9
Issue 2
Mathematics, Vol 9, Iss 185, p 185 (2021)
Biblos-e Archivo. Repositorio Institucional de la UAM
instname
In the present paper, we test the use of Markov-Switching (MS) models with time-fixed or Generalized Autoregressive Conditional Heteroskedasticity (GARCH) variances. This, to enhance the performance of a U.S. dollar-based portfolio that invest in the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::289cb5961745606876c68c7aeafb70de
Akademický článek
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Akademický článek
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Autor:
Ioan Ovidiu SPATACEAN, Paula NISTOR
Publikováno v:
STUDIA UNIVERSITATIS PETRU MAIOR SERIES OECONOMICA. :57-78
In conditions of high exchange rate volatility, entities conducting foreign trade transactions are subject to currency risk exposures, which may have a significant impact on financial performance and operating profitability. The research approach is
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::8e43deb3c2318388a96b2261b723df02
http://www.upm.ro/facultati_departamente/ea/RePEc/oeconomica/09/oeconomica0901_04.pdf
http://www.upm.ro/facultati_departamente/ea/RePEc/oeconomica/09/oeconomica0901_04.pdf
Autor:
Loustaunau, Romain
Volatility appears to be asymmetric to equities. We consider volatility as an asset and examine its benefits when allocated to a portfolio. The portfolio optimization with vix allocation at an index level is transposed to an investable level. Finally
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______1493::8f9a411e91dfe4318595e6d1ff90f2f3
https://hdl.handle.net/2078.1/thesis:2719
https://hdl.handle.net/2078.1/thesis:2719
Intergenerational funds smooth expected consumption across generations in face of an oil windfall. Precautionary buffers or liquidity funds cope with oil price volatility and are a politically more acceptable alternative to hedging. The magnitude of
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::748bf16d0c8668972ec6d2f44787aca1
http://www.oxcarre.ox.ac.uk/images/stories/papers/ResearchPapers/oxcarrerp201285.pdf
http://www.oxcarre.ox.ac.uk/images/stories/papers/ResearchPapers/oxcarrerp201285.pdf
Autor:
Carol Alexander, Leonardo M. Nogueira
We derive the local volatility hedge ratios that are consistent with a stochastic instantaneous volatility and show that this ‘stochastic local volatility’ model is equivalent to the market model for implied volatilities. We also show that a comm
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::bf08c1ddff9e7b0b4c1c3eab06681b15
http://www.icmacentre.ac.uk/pdf/discussion/DP2004-11.pdf
http://www.icmacentre.ac.uk/pdf/discussion/DP2004-11.pdf
Publikováno v:
Repositório Institucional do FGV (FGV Repositório Digital)
Fundação Getulio Vargas (FGV)
instacron:FGV
Fundação Getulio Vargas (FGV)
instacron:FGV
We compare three frequently used volatility modelling techniques: GARCH, Markovian switching and cumulative daily volatility models. Our primary goal is to highlight a practical and systematic way to measure the relative effectiveness of these techni
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::3fc93c26b09bc4f0067c4eaf9d6f1d8e