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Default dependence : the equity default relationship

Turnbull, Stuart M. (contributor); Yang, Jun (contributor) - 2008

The paper examines three equity-based structural models to study the nonlinear relationship between equity and credit default swap (CDS) prices. These models differ in the specification of the default barrier. With cross-firm CDS premia and equity information, we are able to estimate and compare...

Persistent link: https://www.econbiz.de/10003641322

Futures markets, oil prices and the intertemporal approach to the current account

Arbatli, Elif C. (contributor) - 2008

The intertemporal approach to the current account suggests modeling movements in the current account in a forward-looking, dynamic framework. In this framework, the current account reflects consumption smoothing of agents that lend and borrow from the rest of the world in the face of transitory...

Persistent link: https://www.econbiz.de/10003790571

The equity premium and the volatility spread : the role of risk-neutral skewness

Feunou, Bruno; Fontaine, Jean-Sébastien; Tedongap, Roméo - 2009

, variance and an independent skewness parameter under both measures. The model predicts that the spread between historical and … risk-neutral volatilities is a function of the risk premium and of skewness. In fact, the equity premium is twice the ratio … of the volatility spread to skewness. We measure skewness from option prices and test these predictions. We find that …

Persistent link: https://www.econbiz.de/10003852916

Price discovery in Canadian Government bond futures and spot markets

Chung, Christopher (contributor); … - 2007

In this paper we look at the relative information content of cash and futures prices for Canadian Government bonds. We follow the information-share approaches introduced by Hasbrouck (1995) and Harris et al (1995), applying the techniques in Gonzalo-Granger (1995), to evaluate the relative...

Persistent link: https://www.econbiz.de/10003463671

Price discovery in Canadian and US 10-year government bond markets

Campbell, Bryan (contributor); Hendry, Scott (contributor) - 2007

This paper presents some new results on the price discovery process in both the Canadian and U.S. 10-year Government bond markets using high-frequency data not previously analyzed. Using techniques introduced by Hasbrouck (1995) and Gonzalo-Granger (1995), we look at the relative information...

Persistent link: https://www.econbiz.de/10003560539

Estimating the policy rule from money market rates when target rate changes are lumpy

Fontaine, Jean-Sébastien - 2012

Most central banks effect changes to their target or policy rate in discrete increments (e.g., multiples of 0.25%) following public announcements on scheduled dates. Still, for most applications, researchers rely on the assumption that the policy rate changes linearly with economic conditions...

Persistent link: https://www.econbiz.de/10009728132

The economic value of realized volatility : using high-frequency returns for option valuation

Christoffersen, Peter F.; Feunou, Bruno; Jacobs, Kris; … - 2012

Many studies have documented that daily realized volatility estimates based on intraday returns provide volatility forecasts that are superior to forecasts constructed from daily returns only. We investigate whether these forecasting improvements translate into economic value added. To do so we...

Persistent link: https://www.econbiz.de/10009627514

CoMargin

Cruz Lopez, Jorge A.; Harris, Jeffrey H.; Hurlin, Christophe - 2013

We present CoMargin, a new methodology to estimate collateral requirements for central counterparties (CCPs) in derivatives markets. CoMargin depends on both the tail risk of a given market participant and its interdependence with other participants. Our approach internalizes market...

Persistent link: https://www.econbiz.de/10010225497

The financialization of food?

Bruno, Valentina G.; Buyuksahin, Bahattin; Robe, Michel A. - 2013

Commodity-equity and cross-commodity return co-movements rose dramatically after the 2008 financial crisis. This development took place following what has been dubbed the 'financialization' of commodity markets. We first document changes since 2000 in the intensity of speculative activity in...

Persistent link: https://www.econbiz.de/10010201385

What does the convenience yield curve tell us about the crude oil market?

Alquist, Ron; Bauer, Gregory H.; Díez de los Ríos, Antonio - 2014

Using the prices of crude oil futures contracts, we construct the term structure of crude oil convenience yields out to one-year maturity. The crude oil convenience yield can be interpreted as the interest rate, denominated in barrels of oil, for borrowing a single barrel of oil, and it measures...

Persistent link: https://www.econbiz.de/10010401755