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Article
Publication date: 15 May 2017

Hong Yu Xin Pan and Jun Song

Using volatility cones as the estimate of actual volatility instead of GARCH models, the purpose of this paper is to explore whether volatility arbitrage strategy can…

Abstract

Purpose

Using volatility cones as the estimate of actual volatility instead of GARCH models, the purpose of this paper is to explore whether volatility arbitrage strategy can provide positive profits and how the transaction costs existed in the real market affect the effectiveness of volatility arbitrage strategy.

Design/methodology/approach

A number of hedging approaches proposed to improve the hedging results and final returns of Black-Scholes model are analyzed and compared.

Findings

The general finding is that volatility arbitrage strategy can provide satisfactory returns based on the samples in Chinese market. Regarding transaction costs, the variable bandwidth delta and delta tolerance approach showed better results. Besides, choosing futures together with ETFs as hedging underlying can increase the VaR for better risk management.

Practical implications

This paper offers a new method for volatility arbitrage in Chinese financial market.

Originality/value

This paper researches the profitability of the volatility arbitrage strategy on ETF 50 options using volatility cones method for the first time. This method has advantage over the point-wise estimation such as GARCH model and stochastic volatility model.

Details

China Finance Review International, vol. 7 no. 2
Type: Research Article
ISSN: 2044-1398

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Article
Publication date: 27 February 2007

Adilson de Oliveira

The paper intends to offer an understanding of the regional energy integration in the South Cone of Latin America as perceived in Brazil.

Abstract

Purpose

The paper intends to offer an understanding of the regional energy integration in the South Cone of Latin America as perceived in Brazil.

Design/methodology/approach

It assesses the Brazilian need of energy imports to balance its supply to demand and then reviews the strategy followed by successive Brazilian governments in order to move forward the process of energy integration domestically and, more recently, regionally. The reaction of the Brazilian energy establishment to the integration strategy implemented in the 1990s is studied as well.

Findings

The main findings of the paper are that the strategy pursued to regional integration (bilateral commercial contracts) is not providing the benefits originally envisaged and that the main reason for this outcome is the focus on the convergence of national energy regulations and policies.

Originality/value

To move the process of integration forward, the paper proposes that the focus should be on a multilateral agreement that can provide reliability to the national energy systems and can reduce domestic energy prices volatility as well. It is suggested that an agreement on the cooperative management of part of the large hydro and natural gas reservoirs available in the region offers the opportunity to institutionalize multilateral regional security reservoirs.

Details

International Journal of Energy Sector Management, vol. 1 no. 2
Type: Research Article
ISSN: 1750-6220

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Book part
Publication date: 9 February 2018

Derek Moore

Abstract

Details

Broken Pie Chart
Type: Book
ISBN: 978-1-78743-554-4

Content available
Article
Publication date: 18 June 2021

Hassanudin Mohd Thas Thaker and Abdollah Ah Mand

The volatility of bitcoin (BTC) and time horizon is the center point for investment decisions. However, attention is not often drawn to the relationship between BTC and…

Abstract

The volatility of bitcoin (BTC) and time horizon is the center point for investment decisions. However, attention is not often drawn to the relationship between BTC and equity indices. Thus, the purpose of this paper is to investigate the volatility and time frequency domain of BTC with stock markets.

Details

Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 1229-988X

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Article
Publication date: 1 June 1976

E.R. Booster and A.E. Baker

In most ball bearings, grease functions primarily as a storehouse for the small amount of oil needed to coat ball, raceway and separator surfaces. Bearing life tests…

Abstract

In most ball bearings, grease functions primarily as a storehouse for the small amount of oil needed to coat ball, raceway and separator surfaces. Bearing life tests indicate that as a grease ages in service, it finally dries to a degree where it fails to provide this lubrication demand when about half the original oil is gone. This condition of dryness which leads to failure is also related to operating factors such as bearing temperature, speed and load.

Details

Industrial Lubrication and Tribology, vol. 28 no. 6
Type: Research Article
ISSN: 0036-8792

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Article
Publication date: 1 February 2002

Peter W. Brodbeck

Argues that efforts to adapt to increased volatility and uncertainty are still plagued by the traditional wisdom and domination of command‐and‐control hierarchies. In…

Abstract

Argues that efforts to adapt to increased volatility and uncertainty are still plagued by the traditional wisdom and domination of command‐and‐control hierarchies. In highlighting over two decades of intimation for appropriate organizational structural fit, identifies recurring barriers to change. In an effort to achieve organizational adaptability and improve change initiative success, proposes the creation of pockets of excellence. These self‐organizing team structures are positioned as a resource to developing internal efficiencies and business opportunities as a means to enhance productivity and provide a measure of sustainable competitive advantage. The proposed team structure is informed by the developing field of complexity theory and evaluated through focus group discussions.

Details

Team Performance Management: An International Journal, vol. 8 no. 1/2
Type: Research Article
ISSN: 1352-7592

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Article
Publication date: 1 January 1999

HUBERT SHEN

Risk allocation as currently practiced in pension funds is typically characterized by: 1) measurement of the risk of returns relative to a benchmark, and 2) the assignment…

Abstract

Risk allocation as currently practiced in pension funds is typically characterized by: 1) measurement of the risk of returns relative to a benchmark, and 2) the assignment of asset class and profit center limits on potential losses that remain within the fund's overall risk appetite, yet do not excessively hinder achievement of performance targets. Recently, there has been an increased effort to make risk allocation more proactive, i.e., to use risk allocation as a tool for adding value, rather than simply as part of a monitoring or “warning flag” system (see “Covering Bases” [1998, p. 45] and Hemmerick [1998, p. 1]). The underlying notion is that allocated risk capital can improve performance when viewed as a target, rather than a limit, if the goal of the fund is to maximize returns, or, specifically, to maximize expected surplus growth aggregated across the fund, for a given total value at risk (VaR) of returns relative to the benchmark.

Details

The Journal of Risk Finance, vol. 1 no. 1
Type: Research Article
ISSN: 1526-5943

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Article
Publication date: 1 December 2002

Patric H. Hendershott

The upward‐only lease is the dominant rental contract in the UK, while the turnover lease is widely used in the US retail sector. This paper compares and contracts the…

Abstract

The upward‐only lease is the dominant rental contract in the UK, while the turnover lease is widely used in the US retail sector. This paper compares and contracts the landlord rent options in these two leases, interpreting and extending the earlier simulation analysis of Booth and Walsh and of Hendershott and Ward. While the options are similar, the ability of the turnover rent lease to induce greater landlord effort and co‐operation between tenants and the landlord suggest that both UK investors and UK consumers would be well served by greater use of the turnover lease.

Details

Journal of Property Investment & Finance, vol. 20 no. 6
Type: Research Article
ISSN: 1463-578X

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Article
Publication date: 1 July 2006

Julia Henker, Thomas Henker and Anna Mitsios

The purpose of this research is to consider whether market wide herding occurs intraday.

Abstract

Purpose

The purpose of this research is to consider whether market wide herding occurs intraday.

Design/methodology/approach

Using the 1995 Christie and Huang and the 2000 Chang et al. models, the paper tests whether market wide and industry sector herding occurs intraday in the Australian equities market.

Findings

Neither market wide nor industry sector herding occurs intraday.

Research limitations/implications

Both herding measures focus on one specific type of herding, herding evidenced by changes in the cross‐sectional return distribution. Therefore the herding measures are ill suited to capture the effects of period specific abnormally high or low market returns and they can also capture herding of market participants or groups of market participants only in as far as it manifests itself in security specific returns.

Originality/value

No previous studies have considered the possibility of intraday herding in equities markets. Even if there is little evidence of herding over longer time periods, market frictions and inefficiencies continue to be exploited at least anecdotally by traders with very short time horizons to the detriment of longer term investors.

Details

International Journal of Managerial Finance, vol. 2 no. 3
Type: Research Article
ISSN: 1743-9132

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Article
Publication date: 2 December 2019

Francesco Tajani, Pierluigi Morano, Francesca Salvo and Manuela De Ruggiero

In this research a model for the rationalization of the assessment in a rent to buy contract has been proposed, in order to contextualize the economic amounts involved in…

Abstract

Purpose

In this research a model for the rationalization of the assessment in a rent to buy contract has been proposed, in order to contextualize the economic amounts involved in the negotiation according to the specific market risk of the area where the property is located. The paper aims to discuss this issue.

Design/methodology/approach

The model borrows the logical principles of operational research, in order to take into account the convenience constraints of the parties involved (seller and buyer) and to determine the minimum amount of the additional annual rent to be charged as down payment on the final sale price, compensating the investment risk. The procedure proposed for the risk assessment combines the discrete modeling of real option analysis and the exponentially weighted moving average method, in order to weigh appropriately the data available for the specific area in the analysis.

Findings

Considering the limit conditions of variability of the property market value at the time provided for the notarial deed, the proposed model returns two values (minimum and maximum) for a fixed contract duration and for a specific market area for the annual additional rent, which define the reference range to ensure the compliance with the convenience constraints of the parties involved.

Practical implications

In order to test the reliability of the developed methodology, the model has been implemented to the 24 “microzones” defined by the Italian Revenue Agency for the city of Bari (Southern Italy). The results obtained were then georeferenced, in order to create thematic maps of convenience for the subjects interested in the rent to buy formula. The developed maps define a useful support to be consulted in the negotiation phase between the seller and the buyer, allowing both to verify the investment conveniences within the limits of their disposable incomes and their needs.

Originality/value

The tabulated values of the down-payment amounts and the related thematic maps constitute a valid support for both the parties in the initial negotiation phase of the contractual conditions: in fact, if comparable data for the assessment of the market value and the market rent at the time of the stipulation of the contract are ordinarily available, the increase in the rent, to be charged as the annual down payment on the final purchase price, is generally entrusted to the contractual capabilities of the subjects involved, since there is no market reference that can direct an appropriate assessment.

Details

Property Management, vol. 38 no. 1
Type: Research Article
ISSN: 0263-7472

Keywords

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