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Wen-Chung Hsu and Hsiang-Tai Lee
This article investigates the effectiveness of TAIEX (Taiwan Stock Exchange) futures, Taiwan 50 futures, and nonfinance nonelectronics subindex (NFNE) futures for cross hedging the price risk of stock sector indices traded on the Taiwan stock exchange. A...
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Ivana ?tulec
Non-catastrophic weather risk is gaining importance as climate change becomes more pronounced and economic crisis forces companies to strengthen their cost control. Recent literature proposes weather derivatives as flexible weather risk mitigating tools....
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Ke Chen and Meng Wang
This paper examines the dynamic relationships between gold and stock markets in China. Using daily gold and stock indexes data, we estimated the DCC-GARCH model for the five bear markets since 31 October 2002, and simultaneously used different segments o...
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Arfaoui Mongi,Haj Ali Dhouha
Pág. 252 - 270
The present paper studies stock-commodity markets linkage using var-garch approach for the period spanning from January 3, 2000 to March 12, 2014. The analysis has been performed through three competing specifications; the var-ccc-garch, the var-bekk-gar...
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Zhiyuan Pan,Xianchao Sun
Pág. 107 - 121
Calculating accurately the optimal hedge ratio plays an important role in the futures market for both practitioners and academicians. In this paper, we combine copula and nonparametric technique, where marginal setting is modeled by nonparametric techniq...
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