Showing 1 - 10 of 14,064
Persistent link: https://www.econbiz.de/10005537682
This paper evaluates the role of various volatility specifications, such as multiple stochastic volatility (SV) factors …, (2) affine models have to have a jump in returns, stochastic volatility or probably both. Models (1) and (2) are … observationally equivalent on the data set in hand. In either (1) or (2) the key is that the volatility can move violently. As we …
Persistent link: https://www.econbiz.de/10005439838
This paper analyzes the systematic relationship between the stock market valuations, the nominal GDPs and the interest rates of six Asian countries, using not 'single equation regression,' but an alternative methodology based on complete, multidirectional, least squares projections. We compare...
Persistent link: https://www.econbiz.de/10005408169
In this paper, we survey a wide range of theoretical and empirical papers on derivatives markets to address the information contents of trading activities in derivatives markets. Both theoretical and empirical research on options market and futures market indicate that the presence of...
Persistent link: https://www.econbiz.de/10005413117
factors such as stochastic volatility. …
Persistent link: https://www.econbiz.de/10005413226
This work discusses potential pitfalls of applying linear regression models for explaining the relationship between spot and futures prices in electricity markets, in particular, the bias coming from the simultaneity problem, the effect of correlated measurement errors and the impact of...
Persistent link: https://www.econbiz.de/10011100103
This article analyzes long-term dynamic hedging strategies relying on term structure models of commodity prices and proposes a new way to calibrate the models which takes into account the error associated with the hedge ratios. Different strategies, with maturities up to seven years, are tested...
Persistent link: https://www.econbiz.de/10011166328
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
This work discusses potential pitfalls of applying linear regression models for explaining the relationship between spot and futures prices in electricity markets. In particular, the bias coming from the simultaneity problem, the effect of correlated measurement errors and the impact of...
Persistent link: https://www.econbiz.de/10010888015
This article is centred on the volatility of commodity prices. It presents the instruments offering a protection … against volatility and shows how they can be employed. The first section exposes these derivative instruments. It … volatility of crude oil futures prices illustrates the presentation. The last section underlines the interest of the information …
Persistent link: https://www.econbiz.de/10010905033