Listar por autoría "49045548-63cc-473a-bb53-8b9b91de6218"
Mostrando ítems 1-16 de 16
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Food Prices, Ethics and Forms of Speculation
Springer (2021-05-23)This paper examines the role of speculative motives in the determination of commodity prices and specifically food related commodity prices. The motivation for this study is the considerable flow of funds into commodities, ... -
Lead-lag relationship between spot and futures stock indexes: Intraday data and regime-switching models
Elsevier (2020-04-08)This paper analyzes the impact of arbitrage opportunity changes on the price discovery process between the DAX30 index and the DAX30 index future within a short time scale. To this end, we use 5-min data, regime-switching ...
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Market risk aversion under volatility shifts: An experimental study
Elsevier (2022-03-15)We propose an experiment to analyze the relationship between volatility regimes and investors’ behavior and explore the mechanism by which aggregated risk aversion is configured. We design a market in which the volatility ...
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Measuring the hedging effectiveness of index futures contracts: Do dynamic models outperform static models? A regime-switching approach
(2015-07-06)This paper estimates linear and non-linear GARCH models to find optimal hedge ratios with futures contracts for some of the main European stock indexes. By introducing non-linearities through a regime-switching ...
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Non-Linear Tradeoff between Risk and Return: A Regime-Switching Multi-Factor Framework
Delta Publicaciones (2012)This study develops a multi-factor framework where not only the market risk is considered but also potential changes in the investment opportunity set. Although previous studies find no clear evidence about a positive and ...
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On the stationarity of futures hedge ratios
Springer (2020-09-30)Stationarity of hedge ratios can be viewed as a frst step for portfolio hedging since it represents that the sensitivity of spot and Future returns follow a process whose main characteristics do not depend on time. ...
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Optimal Beats Naive Diversification: Asset Allocation Using High-Frequency Data
Pageant Media Ltd (2020-09-20)This article evaluates the usefulness of high-frequency data in optimal portfolio choice. The authors use a comprehensive list of major stock indexes and different frequencies of observations. Furthermore, they consider ... -
Re-examining the risk-return relationship in Europe: Linear or non-linear trade-off?
(2015-07-02)This paper analyzes the risk–return trade-off in Europe using recent data from 11 European stock markets. After relaxing the linear assumptions in the risk–return relationship by introducing a new approach that considers ...
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Revisiting the Silver Crisis
Elsevier (2022-09-22)This paper examines the Silver Crisis of the late 1970s, which resulted in a $150 million lawsuit against the Hunt Brothers. In August 1988, the Hunt Brothers were found guilty by a jury of conspiracy, manipulation, ...
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Sudden changes in variance and time varying hedge ratios
Elsevier (2011-12)This paper analyzes the influence of sudden changes in the unconditional volatility on the estimation and forecast of volatility and its impact on futures hedging strategies. We employ several multivariate GARCH models to ...
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The distribution of index futures realised volatility under seasonality and microstructure noise
Elsevier (2020-09-01)Previous research documents that the distribution of realised volatility appears approximately log-normal. However, formal tests reject normality fairly convincingly, which may indicate intrinsic features in the intraday ...
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The influence of intraday seasonality on volatility transmission patterns
Taylor & Francis (2018)Using data on a five-minute interval basis, this article analyses the effects of intraday seasonality on volatility transmission between the spot and futures markets of the CAC40, DAX30 and FTSE100. Remarkable differences ...
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The non-linear trade-off between return and risk and its determinants
Elsevier (2022-04-08)We estimate a discrete approximation of the risk-return trade-off for the US market by using the whole universe of stocks from July 1963 to September 2017. We find the relationship between return and total risk to be ...
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The Risk - Return Trade - off in Europe: Is There a Pro - cyclical Risk Aversion ?
Academy of Economic Studies in Bucharest (2012)This paper analyzes the risk-return trade-off in European equities considering both temporal and cross-sectional dimensions. We introduce not only the market portfolio but also 15 industry portfolios comprising the entire ...
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The Risk-Return Trade-Off in Emerging Markets
M.E. Sharpe (2012-12)This paper studies the risk-return trade-off in some of the main emerging stock markets in the world. Although previous studies on emerging markets were not able to show a positive and significant trade-off, favorable ...
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The time-varying risk–return trade-off and its explanatory and predictive factors
Elsevier (2023)We analyze the intertemporal dimension of the risk–return trade-off and determine the drivers that better explain and predict its evolution. To this end, we propose a novel estimate of the relationship between return and ...
