Purpose: This paper aims to test three parametric models in pricing and hedging higher-order moment swaps. Using vanilla option prices from the volatility surface of the Euro Stoxx 50 Index, the paper shows that the pricing accuracy of these models is very satisfactory under four different...

Purpose: This paper aims to develop hedging strategies using both futures and forward contracts and issuing risky debt when financially constrained firms are forced to operate in long horizon. Design/methodology/approach: The authors present a model for developing hedging strategies using both...

Purpose: The purpose of this study is to investigate empirically the pattern of co-movement between prices and implied volatility in the future markets for crude oil. Design/methodology/approach: The tool of non-parametric quantile regression is applied to daily price returns and implied...

Purpose: Deposit insurance is a key element in modern banking, as it guarantees the financial safety of deposits at depository financial institutions. It is necessary to have at least a dual fair premium rate system based on creditworthiness of financial institutions, as considering singular...

Purpose: The purpose of this paper is to empirically examine the relationships between acquirer size and performance outcomes of the different process of acquisition in the Chinese context and the moderating effect of political connections on the size-performance relationship....

Purpose: This paper aims to analyze the sensitivity of different external factors to the returns of the precious metals of gold, silver, platinum and palladium. The goal is to find similarities and differences between the dependencies of every factor to each metal in a time-varying framework....

Purpose: This paper aims to investigate empirically the linkages between stock and commodity futures markets. Design/methodology/approach: It involves the application of a flexible copula approach to weekly total returns from the S&P 500 index and from three commodity sub-indices (agriculture,...

Purpose: The purpose of this paper is to assess whether project finance loans were properly priced based on their risk before the crisis of 2008-2009 and what lessons can be learned under different market circumstances. Design/methodology/approach: A literature review presents the structure of...

Purpose: An investor is expected to analyze the market risk while investing in equity stocks. This is because the investor has to choose a portfolio which maximizes the return with a minimum risk. The mean-variance approach by Markowitz (1952) is a dominant method of portfolio optimization,...

Purpose: The purpose of this paper is to analyze different behaviors between long-term options’ implied volatilities and realized volatilities. Design/methodology/approach: This paper uses a widely adopted short interest rate model that describes a stochastic process of the short interest...