Similar Search Results

Optimal hedging under departures from the cost-of-carry valuation : evidence from the Spanish stock index futures market

Lafuente, Juan Angel; Novales, Alfonso - In: Journal of banking & finance 27 (2003) 6, pp. 1053-1078

Persistent link: https://www.econbiz.de/10001757808

Optimal cross-hedging under futures mispricing : a note

Lafuente, Juan Angel - In: Journal of derivatives & hedge funds 19 (2013) 3, pp. 181-188

Persistent link: https://www.econbiz.de/10010259438

Variance swaps, non-normality and macroeconomic and financial risks

Nieto, Belén; Novales, Alfonso; Rubio, Gonzalo - In: The Quarterly Review of Economics and Finance 54 (2014) 2, pp. 257-270

This paper studies the determinants of the variance risk premium and discusses the hedging possibilities offered by variance swaps. We start by showing that the variance risk premium responds to changes in higher order moments of the distribution of market returns. But the uncertainty that...

Persistent link: https://www.econbiz.de/10010868886

Why do variance swaps exist?

Novales, Alfonso; Nieto, Belén; Rubio, Gonzalo - Facultad de Ciencias Económicas y Empresariales, … - 2011

This paper studies the determinants of the variance risk premium and concludes on the hedging possibilities offered by variance swaps. We start by showing that the variance risk premium responds to changes in higher order moments of the distribution of market returns. But the uncertainty that...

Persistent link: https://www.econbiz.de/10009141347

Liquidity and hedging effectiveness under futures mispricing : international evidence

Andani, A.; Lafuente, J. A.; Novales, Alfonso - In: The journal of futures markets 29 (2009) 11, pp. 1050-1066

Persistent link: https://www.econbiz.de/10003900969

Variance swaps, non-normality and macroeconomic and financial risks

Nieto Domenech, Belen; Novales, Alfonso; Rubio, Gonzalo - In: The quarterly review of economics and finance : journal … 54 (2014) 2, pp. 257-270

Persistent link: https://www.econbiz.de/10010467548

Evaluation of market risk associated with hedging a credit derivative portfolio

Chamizo, Álvaro; Novales, Alfonso - In: The quarterly review of economics and finance : journal … 80 (2021), pp. 411-430

Persistent link: https://www.econbiz.de/10012655516