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Uncertainty about interest rates and crude oil prices

Qadan, Mahmoud; Cohen, Gil - In: Financial innovation : FIN 10 (2024), pp. 1-14

The yield on the 10-year U.S. Treasury Note is among the most cited interest rates by investors, policymakers, and fnancial institutions. We show that the 10-year Treasury yield's forward-looking volatility, a VIX-style measure that is a proxy for uncertainty about future interest rates, is a...

Persistent link: https://www.econbiz.de/10014530189

The social cost of carbon under climate volatility risk

Lin, Xu; Wijnbergen, Sweder van - 2023

We calculate the social cost of carbon (SCC) under stochastic climate volatility resulting from uncertainty about future climate risk regimes where weather extremes are becoming more frequent and intense. Using a stochastic dynamic integrated climate-economy model where representative agents are...

Persistent link: https://www.econbiz.de/10014290496

Herding, Information Cascades and Volatility Spillovers in Futures Markets

McAleer, Michael; Radalj, Kim - 2013

Economists and financial analysts have begun to recognise the importance of the actions of other agents in the decision-making process. Herding is the deliberate mimicking of the decisions of other agents. Examples of mimicry range from the choice of restaurant, fashion and financial market...

Persistent link: https://www.econbiz.de/10010326188

Herding, information cascades and volatility spillovers in futures markets

McAleer, Michael; Radalj, Kim - 2013

Persistent link: https://www.econbiz.de/10009784945

The term structure of the price of variance risk

Andries, Marianne; Eisenbach, Thomas M.; Schmalz, Martin C. - 2015

We estimate the term structure of the price of variance risk (PVR), which helps distinguish between competing asset-pricing theories. First, we measure the PVR as proportional to the Sharpe ratio of short-term holding returns of delta-neutral index straddles; second, we estimate the PVR in a...

Persistent link: https://www.econbiz.de/10011303715

Discovering interlinkages between major cryptocurrencies using high‑frequency data : new evidence from COVID‑19 pandemic

Yousaf, Imran; Ali, Shoaib - In: Financial innovation : FIN 6 (2020) 45, pp. 1-18

period and the COVID-19 period. We also estimate the optimal weights, hedge ratios, and hedging effectiveness during both … higher during the COVID-19 period, implying a higher hedging cost compared to the pre-COVID-19 period. Last, the hedging … information to portfolio managers and policymakers regarding portfolio diversification, hedging, forecasting, and risk management. …

Persistent link: https://www.econbiz.de/10012317582

Inflation Hedging with International Equities

Roedel, Maximilian G. - 2012

Existing research discards domestic equities as inflation hedge, yet, to the best of my knowledge, overlooks international equities. I show that international equities hedge against inflation level and inflation changes more effectively than domestic equities. The protection is stronger for...

Persistent link: https://www.econbiz.de/10013105872

Modeling Hedge Fund Seeding Innovation : Fees-for-Seed Swap and Fees-for-Guarantee Swap

Huang, Binghua - 2014

In order to alleviate the financing constraints resulting in severe asymmetric information, a insurer is introduced through fees-for-guarantee swap (FGS) by new and early stage funds' (ESFs) managers seeking strategic partners who provide seed capital in exchange for a certain fraction of ESFs...

Persistent link: https://www.econbiz.de/10013060085

The Term Structure of the Price of Variance Risk

Andries, Marianne - 2015

Persistent link: https://www.econbiz.de/10013018005

Robust Pricing and Hedging around the Globe

Herrmann, Sebastian - 2017

We consider the martingale optimal transport duality for càdlàg processes with given initial and terminal laws. Strong duality and existence of dual optimizers (robust semi-static superhedging strategies) are proved for a class of payoffs that includes American, Asian, Bermudan, and European...

Persistent link: https://www.econbiz.de/10012951058