Search Results - subject:"Futures"

Janardanan, Rajkumar; Qiao, Xiao; Rouwenhorst, K. Geert - In: Financial analysts journal : FAJ 80 (2024) 3, pp. 5-16

Persistent link: https://www.econbiz.de/10015050468

Henrard, Marc P. A. - 2022

With the transitions to overnight benchmarks as the main benchmarks in some currencies, futures based on overnight … rates are becoming more common. The most traded futures on overnight rates settle against compounded rates. The pricing of … those futures requires some convexity adjustments with an Asian flavour due to the composition. Together with the greater …

Persistent link: https://www.econbiz.de/10013293629

Measurement errors in index trader positions data : is the price pressure hypothesis still invalid?

Bohl, Martin T.; Branger, Nicole; Trede, Mark - In: Applied economic perspectives and policy 44 (2022) 3, pp. 1534-1553

Persistent link: https://www.econbiz.de/10013383622

Suitable Price Discovery Measurement of Bitcoin Spot and Futures Markets

Robertson, Kevin; Zhang, Jiani - 2022

Derivatives are playing an increasing role within the trading ecosystem of Bitcoin markets. This includes futures that … the nuances of bitcoin spot and futures trade activity influence market price discovery results obtained using traditional …-lag analysis on bitcoin spot and futures markets by using the Hayashi-Yoshida (HY) estimator (Hayashi and Yoshida, 2005). Our …

Persistent link: https://www.econbiz.de/10013307968

Hedging Cryptos with Bitcoin Futures

Liu, Francis; Packham, Natalie; Lu, Meng-Jou; Härdle, … - 2022

May 2021. Evidence shows that BTC futures can eﬀectively hedge BTC and BTC-involved indices. This promising result is … dependence structures between BTC-not-involved assets and the futures. As a consequence, the results of hedging other assets and …

Persistent link: https://www.econbiz.de/10013404761

The no-arbitrage hypothesis and inertia in forward markets

Ferreira García, José Luis; Kujal, Praveen; Rassenti, … - 2022

Persistent link: https://www.econbiz.de/10013256972

Chinese yuan interest rate swap yields

Akram, Tanweer; Mamun, Khawaja - 2023

This paper models the dynamics of Chinese yuan (CNY)-denominated long-term interest rate swap yields. The financial sector plays a vital role in the Chinese economy, which has grown rapidly in the past several decades. Going forward, interest rate swaps are likely to have an important role in...

Persistent link: https://www.econbiz.de/10013547789

High-Frequency Causality in the VIX Index and Its Derivatives : Empirical Evidence

Farokhnia, Kia; Osterrieder, Joerg - 2023

spot index tends to be lagging its own futures, while the vector autoregression’s error correction mechanism reveals a …

Persistent link: https://www.econbiz.de/10014361986

The impact of financial speculation on futures contracts price movements : a study of the US markets for dairy commodities

Staugaitis, Algirdas Justinas; Christauskas, Česlovas - In: Equilibrium : quarterly journal of economics and … 18 (2023) 3, pp. 661-686

Persistent link: https://www.econbiz.de/10014430616

China: central bank swaps to Argentina, 2014

Arnold, Vincient - In: The journal of financial crises 5 (2023) 1, pp. 158-188

Persistent link: https://www.econbiz.de/10014384281