Search Results - subject:"Volatility risk"

Volatility risk and volatility-of-volatility risk : state-dependent correlations between vix and the S&P 500 stock index and hedging effectiveness

Li, Leon; Chen, Carl R. - In: The journal of futures markets 45 (2025) 11, pp. 2166-2185

Persistent link: https://www.econbiz.de/10015465763

Copula Asymmetry Index (CAI++) : measuring asymmetric equity-volatility tail dependence for defensive allocation

Hatzopoulos, Peter; Statiou, Anastasios D. - In: Risks : open access journal 14 (2026) 4, pp. 1-23

CAI++ strategy against buy-and-hold equity, a 60/40 benchmark, an inverse-volatility risk-parity portfolio, and a moving …

Persistent link: https://www.econbiz.de/10015640224

The impact of volatility regime dynamics on option pricing

Liu, Shican; Li, Qing; Fan, Siqi - In: The North American journal of economics and finance : a … 76 (2025), pp. 1-17

Persistent link: https://www.econbiz.de/10015372565

ESG and stock price volatility risk : evidence from Chinese a-share market

Xu, Zhixiang; Liu, Dehong; Li, Yushu; Guo, Fanyu - In: The North American journal of economics and finance : a … 75 (2025) 1, pp. 1-13

Persistent link: https://www.econbiz.de/10015338016

Impact of the China's new energy market on carbon price fluctuation risk : evidence from seven pilot carbon markets

Pu, Ruo-Yang; Liang, Qiaomei; Wei, Yi-Ming; Yan, Song-Yang - In: Energy strategy reviews 59 (2025), pp. 1-14

Since China implemented its carbon trading mechanism, trading risks arising from unstable carbon prices have significantly reduced its emission-reduction efficiency. Unlike traditional research, which focuses on the impact of fossil fuels on carbon prices, this study emphasises risk spillovers...

Persistent link: https://www.econbiz.de/10015449001