Dynamic risk measures with fluctuation of market volatility under Bochne-Lebesgue space
Starting from the global financial crisis to the more recent disruptions brought about by geopolitical tensions and public health crises, the volatility of risk in financial markets has increased significantly. This underscores the necessity for comprehensive risk measures capable of capturing the complexity and heightened fluctuations in market volatility. This need is crucial not only for new financial assets but also for the traditional financial market in the face of a rapidly changing financial environment and global landscape. In this paper, we consider the risk measures on a special space $L^{p(\cdot)}$, where the variable exponent $p(\cdot)$ is no longer a given real number as in the conventional risk measure space $L^{p}$, but rather a random variable reflecting potential fluctuations in volatility within financial markets. Through further development of axioms related to this class of risk measures, we also establish dual representations for them.
Code (0)
등록된 구현이 없습니다.
Tasks
PositionSimilar Papers 제목 키워드 기반
The impact of geopolitical risk on the international agricultural market: Empirical analysis based on the GJR-GARCH-MIDAS model
The current international landscape is turbulent and unstable, with frequent outbreaks of geopolitical conflicts worldwide. Geopolitical risk has emerged as a significant threat to regional and global peace, stability, a…
Quasiconvex risk measures with markets volatility
Since the quasiconvex risk measures is a bigger class than the well known convex risk measures, the study of quasiconvex risk measures makes sense especially in the financial markets with volatility. In this paper, we wi…
Liquidity Adjustment in Multivariate Volatility Modeling: Evidence from Portfolios of Cryptocurrencies and US Stocks
We develop a liquidity-sensitive multivariate volatility framework to improve the estimation of time-varying covariance structures under market frictions. We introduce two novel portfolio-level liquidity measures, liquid…
ManagementOptimal hedging under fast-varying stochastic volatility
In a market with a rough or Markovian mean-reverting stochastic volatility there is no perfect hedge. Here it is shown how various delta-type hedging strategies perform and can be evaluated in such markets in the case of…
Using nonlinear stochastic and deterministic (chaotic tools) to test the EMH of two Electricity Markets the case of Italy and Greece
Utilization of non-linear tools to characterize the state of development of the electricity markets in Italy and Greece. This is equivalent to testing the Efficient Market Hypothesis on these markets. The tools include a…