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Volatility indexes and contracts for government bonds and time deposits

Mele, Antonio; Obayashi, Yoshiki - 2013 - This version: April 22, 2013

The volatilities of Treasury and time deposit markets comove with equity volatility quite heterogeneously over time, with correlations ranging from negative to positive, and marked by periods of rapid movement. What is the price of Treasury volatility or, say, that of the Eurodollar LIBOR? How...

Persistent link: https://www.econbiz.de/10009750612

Volatility indexes and contracts for eurodollar and related deposits

Mele, Antonio; Obayashi, Yoshiki - 2013 - This version: April 21, 2013

Eurodollar deposit volatility comoves with equity volatility quite heterogeneously over time, with correlations ranging from negative to positive, and marked by periods of rapid movement. What is the price of time deposit volatility? How can we express this price in a model-free format? Despite...

Persistent link: https://www.econbiz.de/10009750613

Credit variance swaps and volatility indexes

Mele, Antonio; Obayashi, Yoshiki - 2013 - This version: April 22, 2013

Credit volatility correlates quite modestly with equity volatility. Currently, only backward-looking indexes for credit volatility exist. We derive model-free indexes of expected CDS index spread volatility that rely on CDS index option prices, which re ect the fair value of dedicated credit...

Persistent link: https://www.econbiz.de/10009750614

Dynamics of interest rate swap and equity volatilities

Mele, Antonio; Obayashi, Yoshiki; Shalen, Catherine T. - 2013

While CBOE's VIX index is widely acknowledged as a broad-based investor “fear gauge” for its strong inverse relationship with major equity indexes, one cannot necessarily expect it to translate to the level of future turbulence or investor risk aversion in fixed-income markets. Indeed,...

Persistent link: https://www.econbiz.de/10009750617

The price of government bond volatility

Mele, Antonio; Obayashi, Yoshiki - 2013 - This version: April 22, 2013

Treasury price volatility comoves with equity volatility quite heterogeneously over time, with correlations ranging from negative to positive, and marked by periods of rapid movement. What is the price of Treasury volatility? How can we express this price in a model-free format? Despite the...

Persistent link: https://www.econbiz.de/10009751208

Cross-section without factors : correlation risk, strings and asset prices

Distaso, Walter; Mele, Antonio; Vilkov, Grigory - 2021 - This version: January 13, 2021

without factors, but with a continuum of securities that have returns driven by a string. In this model, the arbitrage …

Persistent link: https://www.econbiz.de/10012421289

Credit volatility indexes

Mele, Antonio; Obayashi, Yoshiki - 2020 - This version: October 19, 2020

Persistent link: https://www.econbiz.de/10012419450

Market efficiency reloaded: why insider trades do not reveal exploitable information

Dickgiesser, Sebastian; Kaserer, Christoph - 2008

by a subset of stocks with high arbitrage risk as measured by their idiosyncratic volatility. This restrains arbitrageurs … from engaging in otherwise profitable and price-correcting trades. As arbitrage risk is positively related to a stock's bid … mainly be explained by the cost associated with risky arbitrage. Our findings provide evidence that the German stock market …

Persistent link: https://www.econbiz.de/10010305695

Market liquidity risk: an overview

Stange, Sebastian; Kaserer, Christoph - 2009

Market liquidity is the ease of trading an asset. Its risk is the potential loss, because a security can only be traded at high or prohibitive costs. While the omnipresence and importance of market liquidity is widely acknowledged, it has long remained a more or less elusive concept. Treatment...

Persistent link: https://www.econbiz.de/10010305705

Measuring market liquidity risk - which model works best?

Ernst, Cornelia; Stange, Sebastian; Kaserer, Christoph - 2009

Market liquidity risk, the difficulty or cost of trading assets in crises, has been recognized as an important factor in risk management. Literature has already proposed several models to include liquidity risk in the standard Value-at-Risk framework. While theoretical comparisons between those...

Persistent link: https://www.econbiz.de/10010305708