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Realized Volatility and Correlation in Grain Futures Markets: Testing for Spill-Over Effects
Kim, Jae H.; Doucouliagos, Hristos - Department of Econometrics and Business Statistics, … - 2005
Fluctuations in commodity prices are a major concern to many market participants. This paper uses realized volatility … methods to calculate daily volatility and correlation estimates for three grain futures prices (corn, soybean and wheat). The … realized volatility estimates exhibit the properties consistent with the stylized facts observed in earlier studies. According …
Persistent link: https://www.econbiz.de/10005149084
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Modelling the Risk and Return Relation Conditional on Market Volatility and Market Conditions
Galagedera, Don U.A.; Faff, Robert - Department of Econometrics and Business Statistics, … - 2004
This paper investigates whether the risk-return relation varies, depending on changing market volatility and up …/down market conditions. Three market regimes based on the level of conditional volatility of market returns are specified - 'low … premium in the three market volatility regimes is priced. These significant results are uncovered only in the pricing model …
Persistent link: https://www.econbiz.de/10005149085
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Testing for co-jumps in high-frequency financial data: an approach based on first-high-low-last prices
Liao, Yin; Anderson, Heather M. - Department of Econometrics and Business Statistics, … - 2011
This paper proposes a new test for simultaneous intraday jumps in a panel of high frequency financial data. We utilize intraday first-high-low-last values of asset prices to construct estimates for the cross-variation of returns in a large panel of high frequency financial data, and then employ...
Persistent link: https://www.econbiz.de/10009275516
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25 Years of IIF Time Series Forecasting: A Selective Review
Gooijer, Jan G. De; Hyndman, Rob J. - Department of Econometrics and Business Statistics, … - 2005
We review the past 25 years of time series research that has been published in journals managed by the International Institute of Forecasters (Journal of Forecasting 1982-1985; International Journal of Forecasting 1985-2005). During this period, over one third of all papers published in these...
Persistent link: https://www.econbiz.de/10005427625
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Does International Trade Synchronize Business Cycles?
Anderson, H.M.; Kwark, N.-S.; Vahid, F. - Department of Econometrics and Business Statistics, … - 1999
between openness and output volatility. …
Persistent link: https://www.econbiz.de/10005149114
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Parametric Pricing of Higher Order Moments in S&P500 Options.
Lim, G.C.; Martin, G.M.; Martin, V.L. - Department of Econometrics and Business Statistics, … - 2002
well as time-varying volatility are priced. The parametric pricing model nests the Black-Scholes model and can explain … volatility smiles and skews in stock options. The data consist of S&P500 options traded on select days in April, 1995, a total …
Persistent link: https://www.econbiz.de/10005087577
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Nonsimultaneity and Futures Option Pricing: Simulation and Empirical Evidence
Hibbard, Robert E.J.; Brown, Rob; McLaren, Keith R. - Department of Econometrics and Business Statistics, … - 2002
Empirical tests of option pricing models are joint tests of the 'correctness' of the model, the efficiency of the market and the simultaneity of price observations. Some degree of nonsimultaeity can be expected in all but the most liquid markets and is therefore evident in many non-US markets....
Persistent link: https://www.econbiz.de/10005087608
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Pricing Australian S&P200 Options: A Bayesian Approach Based on Generalized Distributional Forms
Flynn, David B.; Grose, Simone D.; Martin, Gael M.; … - Department of Econometrics and Business Statistics, … - 2003
models generalizes the traditional Black-Scholes framework by accommodating time-varying conditional volatility, skewness and … volatility smiles. The empirical results provide strong evidence that time-varying volatility, leptokurtosis and skewness are …
Persistent link: https://www.econbiz.de/10005149038
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Bayesian Estimation of a Stochastic Volatility Model Using Option and Spot Prices: Application of a Bivariate Kalman Filter
Forbes, Catherine S.; Martin, Gael M.; Wright, Jill - Department of Econometrics and Business Statistics, … - 2003
In this paper Bayesian methods are applied to a stochastic volatility model using both the prices of the asset and the … price of volatility risk are produced via a hybrid Markov Chain Monte Carlo sampling algorithm. Candidate draws for the …-space representation of the model. The method is illustrated using the Heston (1993) stochastic volatility model applied to Australian News …
Persistent link: https://www.econbiz.de/10005149095
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Bayesian Estimation of a Stochastic Volatility Model Using Option and Spot Prices.
Forbes, C.S.; Martin, G.M.; Wright, J. - Department of Econometrics and Business Statistics, … - 2002
In this paper we apply Bayesian methods to estimate a stochastic volatility model using both the prices of the asset … and the prices of options written on the asset. Implicit posterior densities for the parameters of the volatility model …, for the latent volatilities and for the market price of volatility risk are produced. The method involves augmenting the …
Persistent link: https://www.econbiz.de/10005581105