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Using econometric models to manage the price risk of cocoa beans : a case from India

Kumar, Kepulaje Abhaya; Spulbăr, Cristi; Pinto, Prakash; … - In: Risks : open access journal 10 (2022) 6, pp. 1-18

This study aims at developing econometric models to manage the price risk of Dry and Wet Cocoa beans with the help of ARIMA (Autoregressive Integrated Moving Average) and VAR (Vector Auto Regressive). The monthly price of Cocoa beans is collected for the period starting from April 2009 to March...

Persistent link: https://www.econbiz.de/10013363126

The effect of ambiguity on price formation and trading behavior in financial markets

Li, Wenhui; Ockenfels, Peter; Wilde, Christian - 2021

various market outcomes (the price level, volatility, trading activity, market liquidity, and the degree of speculative …

Persistent link: https://www.econbiz.de/10012663127

US municipal green bonds and financial integration

Caporale, Guglielmo Maria; Spagnolo, Nicola - 2023

This paper examines mean and volatility spillovers between four green municipal bonds issued by the US states of …

Persistent link: https://www.econbiz.de/10014234020

Dealer capacity and US treasury market functionality

Duffie, Darrell; Fleming, Michael J.; Keane, Frank; … - 2023

Persistent link: https://www.econbiz.de/10014414405

Dealer capacity and U.S. treasury market functionality

Duffie, Darrell; Fleming, Michael J.; Keane, Frank; … - 2023 - Revised October 2023

to intermediate bond markets, as in March 2020. Although yield volatility explains most of the variation in Treasury … than predicted by yield volatility alone. This is consistent with the existence of occasionally binding constraints on the …

Persistent link: https://www.econbiz.de/10014393396

An empirical analysis of herding behaviour : evidence from developed and frontier financial markets

Hakmaoui, Abdelati; El Jebari, Ouael - In: International journal of computational economics and … 13 (2023) 4, pp. 374-403

Persistent link: https://www.econbiz.de/10014439720

Modelling volatility spillover effects between developed stock markets and Asian emerging stock markets

Li, Yanan; Giles, David E. A. - In: International journal of finance & economics : IJFE 20 (2015) 2, pp. 155-177

Persistent link: https://www.econbiz.de/10015179935

Market shocks and stock volatility : evidence from emerging and developed markets

Tabash, Mosab I.; Chalissery, Neenu; Nishad, T. Mohamed; … - In: International Journal of Financial Studies : open … 12 (2024) 1, pp. 1-18

volatility in selected developed and emerging markets between the 2008 financial crisis and the 2019 worldwide pandemic. In this …

Persistent link: https://www.econbiz.de/10014501165

How risky are cryptocurrencies?

Ferreira, Marisa; Silva, Francisco José Ferreira; … - In: Applied economics 56 (2024) 58, pp. 8320-8331

Persistent link: https://www.econbiz.de/10015141783

Financial markets, banks' cost of funding, and firms' decisions : lessons from two crises

Balduzzi, Pierluigi; Brancati, Emanuele; Schiantarelli, … - 2013

We test whether financial fluctuations affect firms' decisions, through their impact on banks' cost of funding. We exploit two shocks to Italian bank CDS spreads and equity valuations: the 2007-2009 financial crisis and the 2010-2012 sovereign debt crisis. Using newly available data linking over...

Persistent link: https://www.econbiz.de/10010229932