Multivariate GARCH models: a survey
Multivariate GARCH models: a survey - Bauwens - 2006 - Journal of Applied Econometrics -
Wiley Online Library Skip to Article Content Skip to Article Information Wiley Online Library …
Wiley Online Library Skip to Article Content Skip to Article Information Wiley Online Library …
A selected review of agricultural commodity futures and options markets
P Garcia, RM Leuthold - European review of agricultural …, 2004 - academic.oup.com
This paper provides a selected review of the research literature on commodity futures and
options markets, focusing primarily on empirical studies. The topics featured include the …
options markets, focusing primarily on empirical studies. The topics featured include the …
Crude oil hedging strategies using dynamic multivariate GARCH
The paper examines the performance of several multivariate volatility models, namely CCC,
VARMA-GARCH, DCC, BEKK and diagonal BEKK, for the crude oil spot and futures returns …
VARMA-GARCH, DCC, BEKK and diagonal BEKK, for the crude oil spot and futures returns …
Price discovery and volatility spillovers in index futures markets: Some evidence from Mexico
M Zhong, AF Darrat, R Otero - Journal of Banking & Finance, 2004 - Elsevier
This paper investigates the hypotheses that the recently established Mexican stock index
futures market effectively serves the price discovery function, and that the introduction of …
futures market effectively serves the price discovery function, and that the introduction of …
[HTML][HTML] The influence of the COVID-19 pandemic on the hedging functionality of Chinese financial markets
In this paper, we investigate both constant and time-varying hedge ratios in terms of the
effectiveness of CSI300 index futures during the COVID-19 crisis. Using naïve, OLS and …
effectiveness of CSI300 index futures during the COVID-19 crisis. Using naïve, OLS and …
Dynamic conditional beta
RF Engle - Journal of Financial Econometrics, 2016 - academic.oup.com
Dynamic conditional beta is an approach to estimating regressions with time varying
parameters. The conditional covariance matrices of the exogenous and dependent variable …
parameters. The conditional covariance matrices of the exogenous and dependent variable …
A Markov regime switching approach for hedging energy commodities
This paper estimates constant and dynamic hedge ratios in the New York Mercantile
Exchange oil futures markets and examines their hedging performance. We also introduce a …
Exchange oil futures markets and examines their hedging performance. We also introduce a …
Analyzing and forecasting volatility spillovers, asymmetries and hedging in major oil markets
Crude oil price volatility has been analyzed extensively for organized spot, forward and
futures markets for well over a decade, and is crucial for forecasting volatility and Value-at …
futures markets for well over a decade, and is crucial for forecasting volatility and Value-at …
[BOOK][B] Stock index futures
CMS Sutcliffe - 2018 - taylorfrancis.com
The global value of trading in index futures is about $20 trillion per year and rising and for
many countries the value traded is similar to that traded on their stock markets. This book …
many countries the value traded is similar to that traded on their stock markets. This book …
[BOOK][B] Market risk analysis, pricing, hedging and trading financial instruments
C Alexander - 2008 - books.google.com
Written by leading market risk academic, Professor Carol Alexander, Pricing, Hedging and
Trading Financial Instruments forms part three of the Market Risk Analysis four volume set …
Trading Financial Instruments forms part three of the Market Risk Analysis four volume set …