equity indices (US, Japan, Europe, UK and Canada), and examine the historical performance of currency hedging strategies in …. Furthermore, we show that the risk reduction achieved historically by following an easily implementable dynamic currency hedging …-risk hedging strategies, we find that using certain hedging instruments can slightly reduce total portfolio returns. However, in …

hedging errors. In the empirical application, we synthesize the prices of the variance contract on S&P 500 index over the …

-related portfolio should diversify to Philippine equity. From hedging effectiveness and risk-adjusted-performance perspectives, oil is …

This paper estimates univariate and multivariate conditional volatility and conditional correlation models of spot … volatilities across returns for each market. The estimates of volatility spillovers and asymmetric effects for negative and …

price volatility. To address this issue, we find a phenomenon, "momentum of jumps" (MoJ), that the predictive ability of the … jump component is persistent when forecasting the oil futures market volatility. Specifically, we propose a strategy that … according to their recent past forecasting performance. The volatility data are based on the intraday prices of West Texas …

commodity index series, this study assesses the impact significant and unexpected news announcements had on volatility between … return and volatility estimates …

straddles; second, we estimate the PVR in a Heston (1993) stochastic-volatility model. In both cases, the estimation is … more negative and its term structure is steeper when volatility is high. These findings are inconsistent with calibrations …

predictive capability of currency volatility risk premia for currency returns. The volatility risk premium -- the difference … between expected realized volatility and model-free implied volatility -- reflects the costs of insuring against currency … volatility fluctuations, and the strategy sells high-insurance-cost currencies and buys low-insurance-cost currencies. The …

, Dow-Jones, Nikkei, S&P 500, Brent, and WTI futures can be effective hedging instruments. We use a wavelet-based dynamic … hedging model to account for heterogeneous investors in the Bitcoin market. For a short-term horizon, soybean futures reduce … are the best for in-sample hedging in a long-term horizon, whereas live cattle futures have the best out …