Residual shape risk on natural gas market with mixed jump diffusion price dynamics

Janda, Karel; Kouřílek, Jakub

doi:10.1016/j.eneco.2019.07.025

Cited by 5 publications

(2 citation statements)

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“…Jumping behavior is always accompanied by a black swan event, and in the context of COVID-19, jumping risk is well worth being considered. Given that a price variation process with jump term is hardly estimated by traditional volatility model, such as GARCH and so on, jumps not only can affect the depiction of the panoramic picture of the variation characteristics ( Zhang et al, 2018 ; Zhou et al, 2020 ; Semeyutin et al, 2021 ; Janda and Kourilek, 2020 ), but also cause the pricing and risk management work to become invalid ( Dutta et al, 2021 ; Guo and Lin, 2020 ), bringing incalculable losses to large number of China's energy market investors worldwide. This study will directly reveal how COVID-19 triggers the jumps component in the price movement pattern of China's energy stocks.…”

Section: Introductionmentioning

confidence: 99%

China's energy stock market jumps: To what extent does the COVID-19 pandemic play a part?

et al. 2022

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Section: Introductionmentioning

confidence: 99%

China's energy stock market jumps: To what extent does the COVID-19 pandemic play a part?

et al. 2022

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“…This research is typical one of financial engineering. We also provide certain examples in the text in order to explain the strategy better to financial practitioners and to show its difference from risk management techniques (Janda & Kourilek, 2020).…”

Section: Introductionmentioning

confidence: 99%

Improving the Quantification of Interest Rate Risk

Stádník

2022

12th International Scientific Conference “Business and Management 2022”

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The value of Macaulay duration, probably the most widely used quantification method for measuring interest rate sensitivity of bonds, could roughly be financially interpreted as a percentage change of the bond price if the paral-lel shift of the interest rate equals 1 percentage point along the entire zero-coupon curve and the initial bond price is equal to 100%. The main problem of its practical application lies in the fact that parallel curve shift is a very rare case, and we are more often concerned with predicting short-term rate shifts and considering their consequences for the rest of the yield curve and thus also for bonds with longer maturities. Therefore, it is useful to find a certain value that represents a quantification of the impact of short rate shifts on bond prices with respect to the parameters of bonds. So, the main contribution of this financial engineering research is to design a measure that can be used in the same way as Macaulay duration, but as a response to the change of the short interest rate, for example: in the equation for chang-ing ΔP of a bond, in the equation of the volatility ratio of two bonds, or in the equation for bond portfolio sensitivity. Such a measure is still lacking in finance. We refer to this measure as the “short rate-shift duration”. Since the effect of the short rate shift on the entire yield curve, and thus especially on the price of long-term bonds, is very difficult to predict analytically, we use empirical data to calculate the duration value of the short-term shift and also to calculate its values for the USD and EUR interest markets.

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Return and volatility spillovers between the raw material and electric vehicles markets

Alekseev,

Janda,

Petit

et al. 2024

Energy Economics

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Residual shape risk on natural gas market with mixed jump diffusion price dynamics

Cited by 5 publications

References 15 publications

China's energy stock market jumps: To what extent does the COVID-19 pandemic play a part?

China's energy stock market jumps: To what extent does the COVID-19 pandemic play a part?

Improving the Quantification of Interest Rate Risk

Return and volatility spillovers between the raw material and electric vehicles markets

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