Similar Search Results

The role of financial investments in agricultural commodity derivatives markets

Borin, Alessandro; Nino, Virginia Di - Banca d'Italia - 2012

volatility of futures prices. The Granger-causality tests suggest that speculative investments usually follow ï¿½ rather than … associated with lower volatility of futures returns, while that of swap dealers is sometimes followed by higher price variations. …

Persistent link: https://www.econbiz.de/10009645788

Estimating expectations of shocks using option prices

Cesare, Antonio Di - Banca d'Italia - 2004

point in time, the parameters of the model are estimated by minimizing the sum of squared implied volatility errors, and … their informational content is compared with the widely used Black and Scholes implied volatility, calculated on at … periods of high variability of asset prices the jump-diffusion approach may help to disentangle the cases in which volatility …

Persistent link: https://www.econbiz.de/10005609384

Macroeconomic determinants of carry trade activity

Anzuini, Alessio; Fornari, Fabio - Banca d'Italia - 2011

From a financial standpoint, the mechanics of the carry trade has been recently examined in Brunnermeier et al. (2009). They showed that shocks to interest rate differentials lead to carry trade activity and to significant reactions in the bilateral exchange rates vis-a-vis the US dollar that...

Persistent link: https://www.econbiz.de/10009320179

An analysis of the determinants of credit default swap spread changes before and during the subprime financial turmoil

Cesare, Antonio Di; Guazzarotti, Giovanni - Banca d'Italia - 2010

spreads have become much more sensitive to the level of leverage while volatility has lost its importance. Using a principal …

Persistent link: https://www.econbiz.de/10008626020

The size of the equity premium

Fornari, Fabio - Banca d'Italia - 2002

Among the many controversial variables in finance, risk premia stand out for their lack of observability. Measuring premia as the difference between realized returns on risky and risk-free assets has not led to unanimous conclusions about their size, which greatly depends on the length of the...

Persistent link: https://www.econbiz.de/10005113528

Credit ratings in structured finance and the role of systemic risk

Violi, Roberto - Banca d'Italia - 2010

This paper explores the implications of systemic risk in Credit Structured Finance (CSF). Risk measurement issues loomed large during the 2007-08 financial crisis, as the massive, unprecedented number of downgrades of AAA senior bond tranches inflicted severe losses on banks, calling into...

Persistent link: https://www.econbiz.de/10008677911

Estimating state price densities by Hermite polynomials: theory and application to the Italian derivatives market

Guasoni, Paolo - Banca d'Italia - 2004

a moving horizon of fixed length. With the exception of volatility, all model parameters can be estimated by linear …

Persistent link: https://www.econbiz.de/10005113632

Recovering the Probability Density Function of Asset Prices Using GARCH as Diffusion Approximations

Fornari, Fabio; Mele, Antonio - Banca d'Italia - 2001

equation of asset price changes and ii) volatility concepts different from the variance. The objective PDF of the asset price …-neutral PDF is extracted from crosssections of bond option prices, after introducing a volatility risk premium function. The …

Persistent link: https://www.econbiz.de/10005113677

Can option smiles forecast changes in interest rates? An application to the US, the UK and the euro area

Pericoli, Marcello - Banca d'Italia - 2005

This paper evaluates the use of risk-neutral probability density functions implied in 3-month interest-rate futures options to assess market perceptions regarding future monetary policy moves options allow the information content implied in simpler derivatives to be extended by providing...

Persistent link: https://www.econbiz.de/10005111560

Risk-Adjusted Forecasts of Oil Prices

Pagano, Patrizio; Pisani, Massimiliano - Banca d'Italia - 2006

This paper documents the existence of a significant forecast error on crude oil futures, particularly evident since the mid-1990s, which is negative on average and displays a non-trivial cyclical component (risk premium). We show that the forecast error on oil futures could have been explained...

Persistent link: https://www.econbiz.de/10005609334