We investigate evidence of state-dependent correlation between Mexican Brady bond and Mexican Equity Fund returns between November 1990 and March 2000. During this timeframe, the Mexican capital market can be characterized by three distinct periods: pre-Peso crisis (November 1990--April 1993),...

We investigate the effect of marking-to-market on an optimal futures hedge under stochastic interest rates. An intertemporal optimal hedge ratio that accounts for basis risk and marking-to-market is derived. This ratio includes all previous hedge ratios, with constant interest rates as special...

This paper examines the impact of co-kurtosis on asset pricing using a four-moment capital asset pricing model. It is shown that, in the presence of skewness and kurtosis in asset return distribution, the expected excess rate of return is related not only to the systematic variance but also to...

This article examines causality in volatility spillover (causality-in-variance) for the six major European government bond markets. Using tests of temporal causality and directed acyclic graphs, we find evidence of contemporaneous causality-in-variance, indicating that volatility spillover in...