The aim of this survey paper is to provide an account of some of the important developments
in the autoregressive conditional heteroskedasticity (ARCH) model since its inception in a …

This paper presents a review of different theoretical approaches to the optimal futures hedge
ratios. These approaches are based on minimum variance, mean-variance, expected utility …

We compare gold and Bitcoin for the G7 stock markets, finding that gold and Bitcoin have
distinct safe haven and hedging characteristics. Gold is an undisputable safe haven and …

While much research uses multivariate GARCH to model volatility dynamics and risk
measures, one particular type of multivariate GARCH model, GO-GARCH, has been …

This paper explores effective hedging instruments for carbon market risk. Examining the
relationship between the carbon futures returns and the returns of four major market indices …

A complete resource for finance students, this textbook presents the most common empirical
approaches in finance in a comprehensive and well-illustrated manner that shows how …

The common consensus regarding weak correlations between cryptocurrencies and stock
markets has recently been challenged by their synchronous downturn during the COVID-19 …

Most research on hedging has disregarded both the long-run cointegrating relationship
between financial assets and the dynamic nature of the distributions of the assets. This study …

Existing time-varying covariance models usually impose strong restrictions on how past
shocks affect the forecasted covariance matrix. In this article we compare the restrictions …

We present a framework for quantifying the spatial and temporal co-occurrence of climate
stresses in a nonstationary climate. We find that, globally, anthropogenic climate forcing has …