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 model, we can obtain more efficient hedge ratios and superior hedging performance in...

This paper analyzes the risk-return trade-off in European equities considering both temporal and cross-sectional dimensions. In our analysis, we introduce not only the market portfolio but also 15 industry portfolios comprising the entire market. Several bivariate GARCH models are estimated to...

Purpose – The paper seeks to explain volatility and risk (VaR) modelling using data from international financial markets, and particularly to evaluate the performance of minimum capital risk requirements (MCRR) estimates in an out‐of‐sample period using the bootstrapping approach....

Purpose – The paper seeks to explain volatility and risk (VaR) modelling using data from international financial markets, and particularly to evaluate the performance of minimum capital risk requirements (MCRR) estimates in an out-of-sample period using the bootstrapping approach....

The time-varying correlation between oil prices returns and European industrial sector indices returns, considering the origin of the oil price shock, is investigated. A time-varying multivariate heteroskedastic framework is employed to test the above hypothesis based on data from 10 European...

The paper constructs measures of intra-day realized volatility for 17 European and USA stock indices. We utilize a model-free de-noising method by assembling the realized volatility in sampling frequency selected according to the volatility signature plot which minimizes the micro-structure...

This paper assesses the association of ESG scores with stock returns and highlights the moderating role of the COVID-19 pandemic and the country's governance. The study uses panel data regression models to assess the relationship between ESG factors and stock returns, focusing on the moderating...