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Liquidity-Induced Dynamics in Futures Markets
Fagan, Stephen; Gencay, Ramazan - Volkswirtschaftliche Fakultät, … - 2008
Futures contracts on the New York Mercantile Exchange are the most liquid instruments for trading crude oil, which is the world’s most actively traded physical commodity. Under normal market conditions, traders can easily find counterparties for their trades, resulting in an efficient market...
Persistent link: https://www.econbiz.de/10005786918
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The impact of information flow and trading activity on gold and oil futures volatility
Clements, Adam; Todorova, Neda - National Centre for Econometric Research (NCER) - 2014
There is a long history of research into the impact of trading activity and information on financial market volatility. Based on 10 years of unique data on news items relating to gold and crude oil broadcast over the Reuters network, this study has two objectives. It investigates the impact of...
Persistent link: https://www.econbiz.de/10010783688
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Calendar anomalies in cash and stock index futures: International evidence
Floros, Christos; Salvador, Enrique - In: Economic Modelling 37 (2014) C, pp. 216-223
This paper examines calendar anomalies (day-of-the-week and monthly seasonal effects) in cash and stock index futures returns. We consider daily data from FTSE100 (UK), FTSE/ASE-20 (Greece), S&P500 (US) and Nasdaq100 (US) spot and future indexes over the period 2004–2011. We employ a...
Persistent link: https://www.econbiz.de/10010744006
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Risk Management and Financial Derivatives: An Overview
Hammoudeh, Shawkat; McAleer, Michael - Department of Economics and Finance, College of … - 2012
cor-relations and volatility spillovers between crude oil and stock index returns, pricing exotic options using the Wang …: evidence from S&P100 index and equity options, the performance of commodity trading advi-sors: a mean-variance-ratio test … catastrophe options with counterparty risk, day of the week effect on the VIX - a parsimonious representation, equity and CDS …
Persistent link: https://www.econbiz.de/10010907433
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Recent Developments in Financial Economics and Econometrics: An Overview
Chang, Chia-Lin; McAleer, Michael; Allen, David - Facultad de Ciencias Económicas y Empresariales, … - 2013
, with evidence from listed firms in Taiwan, pricing options on stocks denominated in different currencies, with theory and … simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single … stock futures, the non-uniform pricing effect of employee stock options using quantile regression, nonlinear dynamics and …
Persistent link: https://www.econbiz.de/10010778692
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Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics : International Evidence
Christoffersen, Peter F.; Diebold, Francis X.; Mariano, … - East Asian Bureau of Economic Research (EABER) - 2006
, but also conditional skewness and kurtosis information, when forming direction-of-change forecasts. …
Persistent link: https://www.econbiz.de/10009363828
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Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics : International Evidence
Tay, Anthony S.; Christoffersen, Peter F.; Diebold, … - East Asian Bureau of Economic Research (EABER) - 2006
, but also conditional skewness and kurtosis information, when forming direction-of-change forecasts. …
Persistent link: https://www.econbiz.de/10009363861
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Direction-of-Change Forecasts for Asian Equity Markets Based on Conditional Variance, Skewness and Kurtosis Dynamics: Evidence from Hong Kong and Singapore
Christoffersen, Peter F.; Diebold, Francis X.; Mariano, … - School of Economics, Singapore Management University - 2004
conditional skewness and kurtosis information, when forming direction-of-change forecasts. …
Persistent link: https://www.econbiz.de/10005091204
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Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence
Christoffersen, Peter F.; Diebold, Francis X.; Mariano, … - Department of Economics, University of Pennsylvania - 2006
, but also conditional skewness and kurtosis information, when forming direction-of-change forecasts. …
Persistent link: https://www.econbiz.de/10005109605
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Price Discovery and Volatility Spillover: Evidence from Indian Commodity Markets
Sehgal, Sanjay; Rajput, Namita; Deisting, Florent - In: The International Journal of Business and Finance Research 7 (2013) 3, pp. 57-75
This paper examines the price discovery and volatility spill-over relationship for Indian commodity markets. We cover twelve actively traded commodities including agriculture, metal and energy and four commodity indices. Price discovery is confirmed for eight commodities and three indices with a...
Persistent link: https://www.econbiz.de/10010938525