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Reexamining the maturity effect using extensive futures data

Daal, Elton; Farhat, Joseph Basheer; Wei, Peihwang P. - Department of Economics and Finance, College of … - 2003

In his seminal article, Samuelson (1965) proposes the maturity effect that volatility of futures prices should increase …

Persistent link: https://www.econbiz.de/10005628170

The Spot Forward Exchange Rate Relation in Indian Foreign Exchange Market - An Analysis

Nath, Golaka - Volkswirtschaftliche Fakultät, … - 2013

Forward exchange rate bias explanation generally falls into two categories – assumption of rational expectation resulting in a risk premium and expectation errors which is systematic. The paper tests the bias in the Indian forward exchange markets using one-month and three month forward...

Persistent link: https://www.econbiz.de/10011111648

Volatility transmission in agricultural futures markets

Beckmann, Joscha; Czudaj, Robert - In: Economic Modelling 36 (2014) C, pp. 541-546

reasons for and the impact of the strong rise in volatility provoked an intensive debate in the media as well as in the … futures markets does not seem to be appropriate. Therefore, the aim of this study is to investigate the volatility spillover … results provide evidence in favor of an existing short-run volatility transmission process in agricultural futures markets. …

Persistent link: https://www.econbiz.de/10010729827

Credit spread changes within switching regimes

Maalaoui Chun, Olfa; Dionne, Georges; François, Pascal - In: Journal of Banking & Finance 49 (2014) C, pp. 41-55

Empirical studies on credit spread determinants are predicated on the presence of a single-regime over the entire sample period and thus find limited explanatory power. A single-regime model hides the fact that explanatory variables take on different loadings across changing patterns in credit...

Persistent link: https://www.econbiz.de/10011118073

Option-implied volatility factors and the cross-section of market risk premia

Li, Junye - In: Journal of Banking & Finance 36 (2012) 1, pp. 249-260

The main goal of this paper is to study the cross-sectional pricing of market volatility. The paper proposes that the … market return, diffusion volatility, and jump volatility are fundamental factors that change the investors’ investment … opportunity set. Based on estimates of diffusion and jump volatility factors using an enriched dataset including S&P 500 index …

Persistent link: https://www.econbiz.de/10010582657

The pricing of unexpected credit losses

Amato, Jeffery D.; Remolona, Eli M - Bank for International Settlements (BIS) - 2005

Why are spreads on corporate bonds so wide relative to expected losses from default? The spread on Baa-rated bonds, for example, has been about four times the expected loss. We suggest that the most commonly cited explanations – taxes, liquidity and systematic diffusive risk – are...

Persistent link: https://www.econbiz.de/10005063360

Macro factors in the term structure of credit spreads

Luisi, Maurizio; Amato, Jeffery D. - Bank for International Settlements (BIS) - 2006

We estimate arbitrage-free term structure models of US Treasury yields and spreads on BBB and Brated corporate bonds in a doubly-stochastic intensity-based framework. A novel feature of our analysis is the inclusion of macroeconomic variables – indicators of real activity, inflation and...

Persistent link: https://www.econbiz.de/10005063368

Does futures exhibit maturity effect? New evidence from an extensive set of US and foreign futures contracts

Daal, Elton; Farhat, Joseph Basheer; Wei, Peihwang P. - Department of Economics and Finance, College of … - 2004

In a seminal article, Samuelson (1965) proposes the maturity effect that volatility of futures prices should increase …

Persistent link: https://www.econbiz.de/10005628171

How Does Systematic Risk Impact Stocks? A Study On the French Financial Market

Hayette, Gatfaoui - EconWPA - 2004

implied market factor and its instantaneous return’s volatility are leptokurtic distributed. Having a proxy for the systematic … the prevailing relationship between the weekly rolling volatility of the return of the implied market factor and weekly …

Persistent link: https://www.econbiz.de/10005561708

A new Model for Stock Price Movements

Venier, Guido - Volkswirtschaftliche Fakultät, … - 2007

with varying volatility i.e. heteroscedacity as well as slowly decaying autocorrelations of squared log returns. These …

Persistent link: https://www.econbiz.de/10005836494