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Borensztein, Eduardo - 2009

domestic welfare through two channels. First, by reducing export income volatility and allowing for a smoother consumption path …

Persistent link: https://www.econbiz.de/10012463197

Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives

Trolle, Anders B. - 2006

We conduct a comprehensive analysis of unspanned stochastic volatility in commodity markets in general and the crude …-oil market in particular. We present model-free results that strongly suggest the presence of unspanned stochastic volatility in … stochastic volatility. The model features correlations between innovations to futures prices and volatility, quasi …

Persistent link: https://www.econbiz.de/10012465916

Financialization in Commodity Markets

Chari, V.V. - 2017

growth rate and volatility of commodity spot prices. This view gained credence because in the 2000s trading volume increased …

Persistent link: https://www.econbiz.de/10012453945

Risk Premia in Crude Oil Futures Prices

Hamilton, James D. - 2013

If commercial producers or financial investors use futures contracts to hedge against commodity price risk, the arbitrageurs who take the other side of the contracts may receive compensation for their assumption of nondiversifiable risk in the form of positive expected returns from their...

Persistent link: https://www.econbiz.de/10012459606

Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets

Diebold, Francis X. - 2008

formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates … evidence of divergent behavior in the dynamics of return spillovers vs. volatility spillovers: Return spillovers display a … gently increasing trend but no bursts, whereas volatility spillovers display no trend but clear bursts …

Persistent link: https://www.econbiz.de/10012464836

Price Volatility and Volume Spillovers between the Tokyo and New York Stock Markets

Ito, Takatoshi - 1993

This paper presents a comprehensive study of the interactions among returns, volatility, and trading volume between the … foreign price volatility and trading volume on correlations between foreign and domestic stock returns, the paper aims to … transmission of stock returns and volatility. Major findings are three-fold: (1) contemporaneous correlations of stock returns …

Persistent link: https://www.econbiz.de/10012474348

High-frequency, Algorithmic Spillovers Between NASDAQ and Forex

Ito, Takatoshi - 2015

We empirically examine the order flows spillovers between Nasdaq and the Forex markets in 2008 and 2009. With emphasis on a role of high-frequency traders (HFTs) who aggregate information between the two markets as well as within each market, our results show that HFTs in Nasdaq trade...

Persistent link: https://www.econbiz.de/10012457544

Cross-border Spillovers : How US Financial Conditions affect M&As Around the World

Bergant, Katharina; Mishra, Prachi; Rajan, Raghuram Govind - National Bureau of Economic Research - 2023

We find that financial conditions in the core have significant spillover effects on cross-border mergers and acquisitions (M&As). On average, a 1 percentage point easing of the IMF US Financial Conditions Index is associated with approximately a 10% higher volume of cross-border M&As. The...

Persistent link: https://www.econbiz.de/10014287336

War Discourse and the Cross Section of Expected Stock Returns

Hirshleifer, David; Mai, Dat; Pukthuanthong, Kuntara - National Bureau of Economic Research - 2023

A war-related factor model derived from textual analysis of media news reports explains the cross section of expected asset returns. Using a semi-supervised topic model to extract discourse topics from 7,000,000 New York Times stories spanning 160 years, the war factor predicts the cross section...

Persistent link: https://www.econbiz.de/10014322736

Financial Machine Learning

Kelly, Bryan T.; Xiu, Dacheng - National Bureau of Economic Research - 2023

We survey the nascent literature on machine learning in the study of financial markets. We highlight the best examples of what this line of research has to offer and recommend promising directions for future research. This survey is designed for both financial economists interested in grasping...

Persistent link: https://www.econbiz.de/10014322889

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