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Taxing Illegal Assets : The Revenue Work of the Criminal Assets Bureau

Campbell, Liz - 2008

This article considers the powers of the Criminal Assets Bureau (CAB) in the context of revenue law, as this lesser - known aspect of the Bureau's work is often overshadowed by its ability to seize and confiscate the proceeds of crime. Although the taxing of illegal profits was traditionally...

Persistent link: https://www.econbiz.de/10014222560

Can inflation predict energy price volatility?

Batten, Jonathan A.; Mo, Di; Pourkhanali, Armin - In: Energy economics 129 (2024), pp. 1-18

Persistent link: https://www.econbiz.de/10014558888

The Elephant in the Ground : Managing Oil and Sovereign Wealth

Van Den Bremer, Ton - 2014

any unhedged volatility must be managed by precautionary savings. If oil prices are pro-cyclical, oil should be extracted …

Persistent link: https://www.econbiz.de/10013045681

When the US stock market becomes extreme?

Aboura, Sofiane - In: Risks : open access journal 2 (2014) 2, pp. 211-225

Over the last three decades, the world economy has been facing stock market crashes, currency crisis, the dot-com and real estate bubble burst, credit crunch and banking panics. As a response, extreme value theory (EVT) provides a set of ready-made approaches to risk management analysis....

Persistent link: https://www.econbiz.de/10010399734

Parameter uncertainty in policy planning models : using portfolio management methods to choose optimal policies under world market volatility

Mukashov, Askar - 2021

This paper suggests using portfolio management methods in policy planning models as a practical tool for determining optimal policy under model parameter uncertainty. We suggest that in addition to calculating the standard policy return estimates, policy options should also be analyzed from the...

Persistent link: https://www.econbiz.de/10012419412

Strategies Based on Momentum and Term Structure in Financialized Commodity Markets

Zaremba, Adam - 2016

The aim of this paper is to investigate the impact of the financialization of commodity markets on the profitability of strategies based on momentum and term structure. The performance of an array of portfolios from double-sorts on non-commercial traders' participation, historical returns and...

Persistent link: https://www.econbiz.de/10013006155

Analysis of VIX Markets with a Time-Spread Portfolio

Papanicolaou, Andrew - 2017

This article explores the relationship between option markets for the S&P500 (SPX) and CBOE's Volatility Index (VIX … computed from SPX put options with different maturities, which results in a term structure for squared volatility. This term … is also used to measure volatility-of-volatility (vol-of-vol) and the volatility leverage effect. There may emerge small …

Persistent link: https://www.econbiz.de/10012971603

Quanto Implied Correlation in a Multi-Lévy Framework

Ballotta, Laura - 2015

In this paper we apply the multivariate construction for Lévy processes introduced by Ballotta and Bonfiglioli (2014) to propose an integrated model for the joint dynamics of FX exchange rates and asset prices. We show that the proposed construction is consistent in terms of symmetries with...

Persistent link: https://www.econbiz.de/10013027591

How Does the Market Variance Risk Premium Vary Over Time? Evidence from S&P 500 Variance Swap Investment Returns

Konstantinidi, Eirini - 2015

maturities and investment horizons and they are economically significant. Volatility trading strategies which condition on the …

Persistent link: https://www.econbiz.de/10013032335

Analogy Making and the Puzzles of Index Option Returns and Implied Volatility Skew

Siddiqi, Hammad - 2015

An anchoring-adjusted option pricing model is developed in which the volatility of the underlying stock return is used … as a starting point that gets adjusted upwards to form expectations about call option volatility. I show that the …

Persistent link: https://www.econbiz.de/10013033252