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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
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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
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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
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Credit Spread Changes within Switching Regimes
Maalaoui, Olfa; Dionne, Georges; François, Pascal - Centre Interuniversitaire sur le Risque, les Politiques … - 2009
Many empirical studies on credit spread determinants consider a single-regime model over the entire sample period and find limited explanatory power. We model the credit cycle independently from macroeconomic fundamentals using a Markov regime switching model. We show that accounting for...
Persistent link: https://www.econbiz.de/10005015278
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Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability
Bollerslev, Tim; Osterrieder, Daniela; Sizova, Natalia; … - School of Economics and Management, University of Aarhus - 2011
The dynamic dependencies in financial market volatility are generally well described by a long-memory fractionally … integrated process. At the same time, the volatility risk premium, defined as the difference between the ex-post realized … volatility and the market’s ex-ante expectation thereof, tends to be much less persistent and well described by a short …
Persistent link: https://www.econbiz.de/10009399368
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Implied Basket Correlation Dynamics
Härdle, Wolfgang Karl; Silyakova, Elena - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2012
volatilities of stocks and implied volatility of the basket. To analyze this structure and the dynamics of the ICS we employ a …
Persistent link: https://www.econbiz.de/10010607150
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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
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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
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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
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Default and Liquidity Regimes in the Bond Market during the 2002-2012 Period
Dionne, Georges; Chun, Olfa Maalaoui - Centre Interuniversitaire sur le Risque, les Politiques … - 2013
Using a real-time random regime shift technique, we identify and discuss two different regimes in the dynamics of credit spreads during 2002-2012: a liquidity regime and a default regime. Both regimes contribute to the patterns observed in credit spreads. The liquidity regime seems to explain...
Persistent link: https://www.econbiz.de/10010687963