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Integrated EUA and CER price modeling and application for spread option pricing

Barrieu, Pauline; Fehr, Max - London School of Economics (LSE) - 2011

In this paper we propose a market consistent futures price dynamics model for cap-andtrade schemes, designed in the spirit of the European Union’s Emissions Trading Scheme (EU ETS). Historical price dynamics for the EU ETS suggest that, both, European emission Allowances (EUAs) and Certified...

Persistent link: https://www.econbiz.de/10010745195

Simulated nonparametric estimation of dynamic models with applications to finance

Altissimo, Filippo; Mele, Antonio - London School of Economics (LSE) - 2005

This paper introduces a new class of parameter estimators for dynamic models, called Simulated Nonparametric Estimators (SNE). The SNE minimizes appropriate distances between nonparametric joint (or conditional) densities estimated from sample data and nonparametric joint (or conditional)...

Persistent link: https://www.econbiz.de/10010745257

The shape of the risk premium: evidence from a semiparametric GARCH model

Linton, Oliver; Perron, Benoit - London School of Economics (LSE) - 2000

We examine the relationship between the risk premium on the S&P500 index total return and its conditional variance. We propose a new semiparametric model in which the conditional variance process is parametric, while the conditional mean is an arbitrary function of the conditional variance. For...

Persistent link: https://www.econbiz.de/10010745701

Asset pricing with heterogeneous investors and portfolio constraints

Chabakauri, Georgy - London School of Economics (LSE) - 2010

volatilities, procyclical price-dividend ratios, excess volatility and other patterns consistent with empirical findings. In a …

Persistent link: https://www.econbiz.de/10010746464

Asset pricing with index investing

Chabakauri, Georgy; Rytchkov, Oleg - London School of Economics (LSE) - 2014

larger (smaller) market capitalizations. Indexing also decreases market volatility and interest rates, although those effects …

Persistent link: https://www.econbiz.de/10011125927

Search and endogenous concentration of liquidity in asset markets

Vayanos, Dimitri; Wang, Tan - London School of Economics (LSE) - 2004

We develop a search-based model of asset trading, in which investors of different horizons can invest in two identical assets. The asset markets are partially segmented: buyers can search for only one asset, but can decide which one. We show that there exists a "clientele" equilibrium where one...

Persistent link: https://www.econbiz.de/10010928661

Does beta move with news?: Systematic risk and firm-specific information flows

Patton, Andrew J.; Verardo, Michela - London School of Economics (LSE) - 2009

This paper shows that the systematic risk (or "beta") of individual stocks increases by an economically and statistically signi…cant amount on days of firm-specific news announcements, and reverts to its average level two to five days later. We employ intra-daily data and recent advances in...

Persistent link: https://www.econbiz.de/10011071113

How deep was the September 2001 stock market crisis?: putting recent events on the American and French markets into perspective with an index of market shocks

Maillet, Bertrand; Michel, Thierry - London School of Economics (LSE) - 2002

Markets reacted strongly to the World Trade Center attacks both in Europe and in the United States. The extent of this crisis was difficult to assess at the time, underlining the need for a specific tool to measure the magnitude of financial crises. A first measure was recently proposed and...

Persistent link: https://www.econbiz.de/10010744901

A GARCH model of the implied volatility of the Swiss Market Index from options prices

Linton, Oliver; Sabbatini, Michael - London School of Economics (LSE) - 2004

This paper estimates the implied stochastic process of the volatility of the Swiss market index (SMI) from the prices … option pricing model of Duan (1991), the implied volatility process is estimated by a simulation minimization method from … option price data. We find the persistence of volatility shocks implied by options on the SMI to be very close to that …

Persistent link: https://www.econbiz.de/10010746119

A local instrumental variable estimation method for generalized additive volatility models

Kim, Woocheol; Linton, Oliver - London School of Economics (LSE) - 2004

We investigate a new separable nonparametric model for time series, which includes many ARCH models and AR models already discussed in the literature. We also propose a new estimation procedure based on a localization of the econometric method of instrumental variables. Our method has...

Persistent link: https://www.econbiz.de/10010746316