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Trading in commodity derivatives on exchange platforms is an instrument to achieve price discovery, better price risk management, besides helping macro-economy with better resource allocation. Since the inception (2003) of national online trading on multi-commodity exchange platforms, the trade...
Persistent link: https://www.econbiz.de/10011807622
In this paper we suggest a number of statistical tests based on neural network models, that are designed to be powerful against structural breaks in otherwise stationary time series processes while allowing for a variety of nonlinear specifications for the dynamic model underlying them. It is...
Persistent link: https://www.econbiz.de/10010284109
Tests of ARCH are a routine diagnostic in empirical econometric and financial analysis. However, it is well known that misspecification of the conditional mean may lead to spurious rejections of the null hypothesis of no ARCH. Nonlinearity is a prime example of this phenomenon. There is little...
Persistent link: https://www.econbiz.de/10010284114
This paper proposes pure significance tests for the absence of nonlinearity in cointegrating relationships. No assumption of the functional form of the nonlinearity is made. It is envisaged that the application of such tests could form the first step towards specifying a nonlinear cointegrating...
Persistent link: https://www.econbiz.de/10010284167
Economists typically make simplifying assumptions to make the solution and estimation of their highly complex models … predictions of the model. We leverage the recent advancements in machine learning to develop a solution and estimation method … method is much more efficient than existing global solution methods and that the estimation converges to the true parameter …
Persistent link: https://www.econbiz.de/10013479448
We study the real-time characteristics and drivers of jumps in option prices. To this end, we employ high frequency data from the 24-hour E-mini S&P 500 options market. We find that option prices do not jump simultaneously across strikes and maturities and are uncorrelated with jumps in the...
Persistent link: https://www.econbiz.de/10011381002
We document that a theoretically founded, real-time, and easy-to-implement option-based measure, termed synthetic-stock difference (SSD), accurately estimates the part of stock's expected return arising from stock's transaction costs. We calculate SSD for U.S. optionable stocks. SSD can be more...
Persistent link: https://www.econbiz.de/10014480627
their crops, which are forward looking, and thus reduce their market risk. But in India, agri-futures have gone through a … assessing potential success of a commodity in agri-futures in India. We find that commodities that are relatively less sensitive … commodities. Thus, the lessons learnt are that futures market can be deepened in India by (1) focusing first on "non …
Persistent link: https://www.econbiz.de/10011807888
A regime switching model in continuous time is introduced where a variety of jumps are allowed in addition to the diffusive component. The characteristic function of the process is derived in closed form, and is subsequently employed to create the likelihood function. In addition, standard...
Persistent link: https://www.econbiz.de/10010284206
Ein Überblick über in Deutschland emittierte Turbo-Zertifikate zeigt den enormen Erfolg dieser Finanzinnovation. In diesem Beitrag werden Long- und Short-Zertifikate bewertet und analysiert. Im Mittelpunkt steht dabei die jüngst von einigen Emittenten offen kommunizierte Preisstellung...
Persistent link: https://www.econbiz.de/10005844490