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Forecast based pricing of weather derivatives

Härdle, Wolfgang; López Cabrera, Brenda; Ritter, Matthias - 2012

Forecasting based pricing of Weather Derivatives (WDs) is a new approach in valuation of contingent claims on nontradable underlyings. Standard techniques are based on historical weather data. Forward-looking information such as meteorological forecasts or the implied market price of risk (MPR)...

Persistent link: https://www.econbiz.de/10009511156

Forecast Based Pricing of Weather Derivatives

Härdle, Wolfgang - 2017

Persistent link: https://www.econbiz.de/10012966324

Value-at-Risk Forecasting Ability of Filtered Historical Simulation for Non-Normal GARCH Returns

Adcock, Christopher J. - 2013

Persistent link: https://www.econbiz.de/10013090404

Linear predictability vs. bull and bear market models in strategic asset allocation decisions : evidence from UK data

Guidolin, Massimo; Hyde, Stuart - 2012

Most papers in the portfolio choice literature have examined linear predictability frameworks based on the idea that simple but flexible Vector Autoregressive (VAR) models can be expanded to produce portfolio allocations that hedge against the bull and bear dynamics typical of financial markets...

Persistent link: https://www.econbiz.de/10009658243

Predicting Hedge Fund Performance When Fund Returns Are Skewed

Heuson, Andrea J. - 2019

We show that fund-specific return skewness is associated with managerial skill and future hedge fund performance. Specifically, skewness in fund returns reflects managerial skill in avoiding large drawdowns. Using a new measure of investment skill that accounts for this managerial ability, we...

Persistent link: https://www.econbiz.de/10012904857

Technical Trading Rule Profitability in Currencies : It’s All About Momentum

Hutchinson, Mark; Kyziropoulos, Panagiotis; O'Brien, John; … - 2022

Recent academic and practitioner attention has focused on currency momentum. In this paper we replicate technical trading rules to assess their relationship with momentum. From an investment perspective, the average out-of-sample pre-transaction cost Sharpe ratio of technical trading rules is...

Persistent link: https://www.econbiz.de/10013306863

Macro Econometric Models to Predict the NAV of an Asset Allocation Fund, VWELX

Lawrence, Kenneth D. - 2013

This research examines the use of econometric models to predict the total NAV of an asset allocation mutual fund. In particular, the mutual fund case used is the Vanguard Wellington Fund. This fund maintains a balance between relatively conservative stocks and bonds. The period of the study on...

Persistent link: https://www.econbiz.de/10013072352

Forecast based pricing of weather derivatives

Härdle, Wolfgang Karl; López-Cabrera, Brenda; Ritter, … - 2012

Persistent link: https://www.econbiz.de/10010281602

Industry variance risk premium, cross-industry correlation, and expected returns

Zhu, Yabei; Luo, Xingguo; Xu, Qi - In: The journal of futures markets 43 (2023) 1, pp. 3-32

Persistent link: https://www.econbiz.de/10013465888

On the Role of the Estimation Error in Prediction of Expected Shortfall

Lönnbark, Carl - 2012

In the estimation of risk measures such as Value at Risk and Expected shortfall relatively short estimation windows are … typically used rendering the estimation error a possibly non-negligible component. In this paper we build upon previous results … for the Value at Risk and discuss how the estimation error comes into play for the Expected Shortfall. We identify two …

Persistent link: https://www.econbiz.de/10014165707