Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 33: 3–56. https://doi.org/10.1016/0304-405X(93)90023-5. Article Google Scholar Fama, E.F., and J.D. MacBeth. 1973. Risk, return, and equilibrium: Empirical tests. Journal of Political Economy ...
We employ a multivariate volatility framework, which accounts for salient features of the series in the computation of optimal weights and optimal hedging ratios. We find evidence of hedging effectiveness between gold and sectoral stocks, albeit with lower performance, during the pandemic. Overall, ...
Chapters include: Preparing for the day's work Arrangement of the trading office How to read the tape Commitments and limits of risk How to keep capital turning over Kind of stocks in which to trade Pyramiding And much more Download
Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 33: 3–56. https://doi.org/10.1016/0304-405X(93)90023-5. Fama, E.F., and J.D. MacBeth. 1973. Risk, return, and equilibrium: Empirical tests. Journal of Political ...
2016. Hedging emerging market stock prices with oil, gold, vix, and bonds: A comparison between DCC, ADCC and GO-GARCH. Energy Economics 54: 235–47. [CrossRef] Batten, Jonathan, Harald Kinateder, Peter Szilagyi, and Niklas Wagner. 2021. Hedging stocks with oil. Energy Economics 93: ...