Robust hedging performance and volatility risk in option markets: Application to Standard and Poor's 500 and Taiwan index options

Advances in financial risk management and economic policy uncertainty: An overview

“…forecasting value-at-risk using block structure multivariate stochastic volatility models (Asai, Caporin and McAleer, 2014), the time-varying causality between spot and futures crude oil prices: a regime switching approach (Balcilar, Gungor and Hammoudeh, 2014), a regimedependent assessment of the information transmission dynamics between oil prices, precious metal prices and exchange rates (Balcilar, Hammoudeh and Fru Asaba, 2014), a practical approach to constructing price-based funding liquidity factors (Bouwman, Buis, PieterseBloem and Tham, 2014), realized range volatility forecasting: dynamic features and predictive variables (Caporin and Velo, 2014), modelling a latent daily tourism financial conditions index (Chang, 2014), bank ownership, financial segments and the measurement of systemic risk: an application of CoVaR (Drakos and Kouretas, 2014), model-free volatility indexes in the financial literature: a review (Gonzalez-Perez, 2014), robust hedging performance and volatility risk in option markets: application to Standard and Poor's 500 and Taiwan index options (Han, Chang, Kuo and Yu, 2014), price cointegration between sovereign CDS and currency option markets in the financial crises of 2007-2013(Hui and Fong, 2014, whether zombie lending should always be prevented (Jaskowski, 2014), preferences of risk-averse and risk-seeking investors for oil spot and futures before, during and after the global financial crisis (Lean, McAleer and Wong, 2014), managing financial risk in Chinese stock markets: option pricing and modeling under a multivariate threshold autoregression (Li, Ng and Chan, 2014), managing systemic risk in The Netherlands (Liao, Sojli and Tham, 2014), mean-variance portfolio methods for energy policy risk management (Marrero, Puch and Ramos-Real, 2014), on robust properties of the SIML estimation of volatility under micro-market noise and random sampling (Misaki and Kunitomo, 2014), ALRIGHT: Asymmetric LaRge-Scale (I)GARCH with Hetero-Tails (Paolella and Polak, 2014), the economic fundamentals and economic policy uncertainty of Mainland China and their impacts on Taiwan and Hong Kong (Sin, 2014), prediction and simulation using simple models characterized by nonstationarity and seasonality 5 (Swanson and Urbach, 2014), and volatility forecast of stock indexes by model averaging using high frequency data (Wang and Nishiyama, 2014).…”

Performance evaluation and volatility of Turkey REITs during COVID-19 pandemic

“…In this study, risk-adjusted returns were used based on two main reasons, namely; the first is to capture Turkish REITs' volatility during the unprecedented situation, second is to provide more robust findings. Despite that risk-adjusted returns are commonly used in modeling the performance of the portfolio or hedging studies (Yun, 2006;Walksh€ ausl and Lobe, 2012;Basu and Miffre, 2013;Mitra, 2013;Ho et al, 2014;Dah et al, 2015;Han et al, 2015;Markopoulou et al, 2016). Still, there is a special connection between volatility and hedging.…”

A Literature Review of Treasury Bond Futures Pricing and Arbitrage Method

“…Han CH (2015) analyzed the hedging robustness of stock index market, introduced two types of hedging transactions: model-free and Volatility-Model-Free, and using corrected Fourier transform method to estimate instantaneous fluctuations. Based on price limit rules in Taiwan market, the paper proposed varying methods on time scales [40]. Liang CX and Li SH (2015) developed a stable normal distribution whose term has random fluctuations to capture implied volatility characteristics and derive real option pricing and hedging formulas, then empirically compare four option pricing model [41].…”