Stationarity of hedge ratios can be viewed as a first step for portfolio hedging since it represents that the … sensitivity of spot and futures returns follow a process whose main characteristics do not depend on time. However, we provide …

Systemic risk is a very important but very complex notion in banking and how to measure it adequately is challenging …. We introduce a new framework for measuring systemic risk by using a risk-adjusted balance sheet approach. The measure … models credit risk of banks as a put option on bank assets, a tradition that originated with Merton. We conceive of an …

show that the Chilean exchange rate has the ability to predict the returns of oil prices and of three additional oil …

causality between oil price changes and the aggregate stock market returns of France, Italy, Saudi Arabia and the United Arab … Emirates. We provide strong empirical evidence that oil price changes cause aggregate stock returns for the two oil … extent, useful predictors of the equity returns of Saudi Arabia and the United Arab Emirates. …

comovement amongst returns. First, across all indices, persistent high-volatility spells always coincide with macroeconomic … slowdowns. This confirms that market volatility increases as a result of shifts in the perception of macroeconomic risk. Second …. Third, since the late 1990s returns have been hit more often by high-volatility common shocks, likely because of larger and …

the ECM-GARCH model (capturing volatility clustering) provides best hedging ratios, while CCC-ARCH is superior to OLS, ECM …This paper examines hedging in South African stock index futures market. The hedge ratios are estimated by six …

This paper investigates the links between price returns for seven commodities and Shariah-compliant equities (developed …