Showing 1 - 10 of 12,953
This paper tests a smart money-noise trader model directly by seeing how well its predictions match the behavior of actual investors.
Persistent link: https://www.econbiz.de/10005672091
Currency and interest rate swaps are subject to a complex, two-sided default risk. Several theoretical papers have recently addressed the problem of pricing swap credit risk. We implement a recent credit risk pricing model in order to attempt to evaluate a line of research in theoretical credit...
Persistent link: https://www.econbiz.de/10005558868
Currency and interest rate swaps are subject to a complex, two-sided default risk. Although several theoretical papers have recently addressed the problem of pricing swap credit risk, the empirical literature is almost non-existent. This is the only study we know of that uses actual transaction...
Persistent link: https://www.econbiz.de/10005558895
This paper identifies such fundamental characteristics as the lack of ergodicity, stationarity, and independence, and it identifies the degree of initial persistence of the Chinese stock markets when they were more regulated. The index series are from the Shanghai (SHI) stock market and Shenzhen...
Persistent link: https://www.econbiz.de/10005561572
This paper investigates the hedging effectiveness of the Standard & Poor’s (S&P) 500 stock index futures contract using weekly settlement prices for the period July 3rd, 1992 to June 30th, 2002. Particularly, it focuses on three areas of interest: the determination of the appropriate model for...
Persistent link: https://www.econbiz.de/10005561631
The multifractal model of asset returns captures the volatility persistence of many financial time series. Its multifractal spectrum computed from wavelet modulus maxima lines provides the spectrum of irregularities in the distribution of market returns over time and thereby of the kind of...
Persistent link: https://www.econbiz.de/10005561749
This paper presents an alternative modelling of the term structure of the credit spreads under a structural approach. We rely upon the barrier option pricing frameworkto price a corporate zero-coupon bond with a stochastic present value of the recovery consistent with the evidence on the...
Persistent link: https://www.econbiz.de/10005738698
We derive semi-closed form solutions for the forward and futures exchange rates, European foreign currency options, currency forward options, and currency futures options when the domestic and foreign interest rate movements follow mean reverting diffusion processes. These solutions are...
Persistent link: https://www.econbiz.de/10005587161
The phenomenal growth of derivative markets across the globe indicates their impact on the global financial scene. As the securities markets continue to evolve, market participants, investors and regulators are looking at different way in which the risk management and hedging needs of investors...
Persistent link: https://www.econbiz.de/10005621718
Based on a two-country, two-period general equilibrium model of the spot and futures markets for crude oil, we show that there is no theoretical support for the common view that oil futures prices are good predictors of the spot price in the mean-squared error sense; yet under certain conditions...
Persistent link: https://www.econbiz.de/10005792183