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Persistent link: https://www.econbiz.de/10002118377
GARCH-jump models of metal price returns, while allowing for sudden movements (jumps), apply the same specification of the jump component in both ‘bear' and ‘bull' markets. As a result, the more frequent but relatively small jumps that occur in both bear and bull markets dominate the...
Persistent link: https://www.econbiz.de/10013158086
The study examines the impact of liquidity risk on freight derivatives returns. The Amihud liquidity ratio and bid-ask spreads are utilized to assess the existence of liquidity risk in the freight derivatives market. Other macroeconomic variables are used to control for market risk. Results...
Persistent link: https://www.econbiz.de/10013018063
Persistent link: https://www.econbiz.de/10011341934
futures price volatility of existing gold futures with two contract sizes, 50 baht-weight and 10 baht-weight, using symmetric … modelling gold futures price volatility. The results confirm that the coming into market of Gold-D significantly reduces the … price volatility of existing gold futures. There is not a significant negative relationship between the introduction of Gold …
Persistent link: https://www.econbiz.de/10013179506
This paper documents law of one price violations in equity volatility markets. While tightly linked by no …
Persistent link: https://www.econbiz.de/10012391498
The impact of Bitcoin futures introduction on the underlying Bitcoin volatility has been a controversial topic … the impacts of Bitcoin futures trading on spot market volatility in the short and long run. Using exponential GARCH model …, we introduce a dummy in the variance equation to capture the changes in the volatility before and after the introduction …
Persistent link: https://www.econbiz.de/10013215325
interest rate derivatives when the volatility of the short rate follows a GARCH process that can be correlated with the level …, yield curve options, etc. The advantage of our discrete-time model over continuous-time stochastic volatility models is that … volatility is an observable function of the history of the spot rate and is easily (and exactly) filtered from the discrete …
Persistent link: https://www.econbiz.de/10013032670
I test for the presence of asymmetric volatility in the Euro cross-rate futures markets. My investigation is based on a … variant of the heterogeneous autoregressive volatility model, using daily realized variance and return series from 2004 … through 2009. I find that appreciation against the Euro leads to less volatility for the EUR/GBP contract and significantly …
Persistent link: https://www.econbiz.de/10013144281
This paper aims to establish trends in intraday volatility in context of the Indian stock market and analyze the impact … of development in the Indian economy on its stock market volatility. One minute tick data of Nifty 50 futures from Jan 1 …, 2011 to Aug 31, 2018 was used for the purpose of this research. Volatility was computed for each day of week and various …
Persistent link: https://www.econbiz.de/10011937175