Narrow search
Showing 1 - 10 of 14
Cover Image
Dynamic jump intensities and risk premiums in crude oil futures and options markets
Christoffersen, Peter F.; Jacobs, Kris; Li, Bingxin - 2016
Options on crude oil futures are the most actively traded commodity options. We develop a class of computationally … efficient discrete-time jump models that allow for closed-form option valuation, and we use crude oil futures and options data … crucial for modeling crude oil futures and futures options, and we find evidence in favor of time-varying jump intensities …
Persistent link: https://www.econbiz.de/10011646275
Cover Image
Dynamic Jump Intensities and Risk Premiums in Crude Oil Futures and Options Markets
Christoffersen, Peter - 2020
Options on crude oil futures are the most actively traded commodity options. We develop a class of computationally … efficient discrete-time jump models that allow for closed-form option valuation, and we use crude oil futures and options data … crucial for modeling crude oil futures and futures options, and we find evidence in favor of time-varying jump intensities …
Persistent link: https://www.econbiz.de/10012850215
Cover Image
Speculation, Risk Aversion, and Risk Premiums in the Crude Oil Market
Li, Bingxin - 2020
Speculative activity in commodity markets has increased dramatically over the last decade. I investigate whether aggregate risk aversion and risk premiums in the crude oil market co-vary with the level of speculation. Using crude oil futures and option data, I estimate aggregate risk aversion in...
Persistent link: https://www.econbiz.de/10012856281
Cover Image
Option Returns, Risk Premiums, and Demand Pressure in Energy Markets
Jacobs, Kris; Li, Bingxin - 2021
returns are negative at short maturities, more so for OTM options, and increase with maturity. Put returns are less negative … energy futures is priced in the raw option returns. Moneyness patterns in raw and delta-hedged returns are similar to … lower the returns on call options, which suggests that demand from speculators may affect option returns in energy markets …
Persistent link: https://www.econbiz.de/10013243531
Cover Image
Risk Premia in the Term Structure of Crude Oil Futures : Long-Run and Short-Run Volatility Components
Boyd, Naomi E.; Li, Bingxin; Liu, Rui - 2021
This paper studies how volatility affects the risk premium in crude oil futures through a discrete-time term structure model with long-run and short-run GARCH-type volatility components. Estimated using WTI crude oil futures data from January 1990 to July 2016, our model simultaneously matches...
Persistent link: https://www.econbiz.de/10013247149
Cover Image
The Relative Pricing of WTI and Brent Crude Oil Futures : Expectations or Risk Premia?
Gao, Xin (Shane); Li, Bingxin; Liu, Rui - 2022
This paper studies the spread of Brent-WTI futures prices using a no-arbitrage term structure model with one common and two latent idiosyncratic risk factors. We document more negative risk premia for WTI than for Brent, and the differences are more pronounced at longer maturities. The...
Persistent link: https://www.econbiz.de/10014078682
Cover Image
The Dynamics of Japanese Government Bonds’ Nominal Yields
Akram, Tanweer - 2018
This paper employs a Keynesian perspective to explain why Japanese government bonds' (JGBs) nominal yields have been low for more than two decades. It deploys several vector error correction (VEC) models to estimate long-term government bond yields. It shows that the low short-term interest...
Persistent link: https://www.econbiz.de/10012919537
Cover Image
Some Empirical Models of Japanese Government Bond Yields Using Daily Data
Akram, Tanweer - 2020
This paper models the dynamics of Japanese government bond (JGB) nominal yields using daily data. Models of government bond yields based on daily data, such as those presented in this paper, can be useful not only to investors and market analysts, but also to central bankers and other...
Persistent link: https://www.econbiz.de/10012828211
Cover Image
The empirics of UK gilts' yields
Akram, Tanweer; Li, Huiqing - 2020
This paper analyzes the nominal yields of UK gilt-edged securities ("gilts") based on a Keynesian perspective, which holds that the short-term interest rate is the primary driver of the long-term interest rate. Quarterly data are used to model gilts' nominal yields. These models bring to light...
Persistent link: https://www.econbiz.de/10012291941
Cover Image
Some empirical models of Japanese government bond yields using daily data
Akram, Tanweer; Li, Huiqing - 2020
This paper models the dynamics of Japanese government bond (JGB) nominal yields using daily data. Models of government bond yields based on daily data, such as those presented in this paper, can be useful not only to investors and market analysts, but also to central bankers and other...
Persistent link: https://www.econbiz.de/10012249738