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Jump Risk Premia in Short-Term Spread Options : Evidence from the German Electricity Market
Marckhoff, Jan - 2009
This paper analyzes the valuation of day-ahead Physical Transmission Rights (PTRs) on the German-Dutch interconnector. From a financial perspective, PTRs are options written on the difference between the German and Dutch hourly electricity prices. We propose a model for the valuation of...
Persistent link: https://www.econbiz.de/10013159854
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A High-Frequency Investigation of the Interaction between Volatility and DAX Returns
Masset, Philippe; Wallmeier, Martin - 2023
in volatility. The economic rationale for the effect is still controversial. The competing explanations have different … implications for the origin of the relationship: Are volatility changes induced by index movements, or inversely, does volatility … implied volatility and index return in Germany based on Granger causality tests and impulse-response functions. Our dataset …
Persistent link: https://www.econbiz.de/10014257347
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Pricing the Bund term structure with linear regressions : without an observable short rate
Speck, Christian - 2023
Affine term structure models of bond yields are important tools for analyzing fixed income markets and monetary policy. Estimators of Adrian, Crump, and Mönch (2013) and Diez de Los Rios (2015) replace time-consuming nonlinear search procedures with a set of simple linear regressions. However,...
Persistent link: https://www.econbiz.de/10014320252
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Stock Return Predictability and Variance Risk Premia : Statistical Inference and International Evidence
Bollerslev, Tim - 2012
Recent empirical evidence suggests that the variance risk premium predicts aggregate stock market returns. We demonstrate that statistical finite sample biases cannot “explain” this apparent predictability. Further corroborating the existing evidence of the U.S., we show that country...
Persistent link: https://www.econbiz.de/10013109053
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Stock Return Predictability and Variance Risk Premia : Statistical Inference and International Evidence
Bollerslev, Tim - 2012
Recent empirical evidence suggests that the variance risk premium predicts aggregate stock market returns. We demonstrate that statistical finite sample biases cannot “explain” this apparent predictability. Further corroborating the existing evidence of the U.S., we show that country...
Persistent link: https://www.econbiz.de/10013115149
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Extended Libor market models with affine and quadratic volatility
Zühlsdorff, Christian - 2002
dynamics has a linear volatility function. In this paper, the model is extended to quadratic volatility functions which are the …
Persistent link: https://www.econbiz.de/10011538865
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The Skew Pattern of Implied Volatility in the DAX Index Options Market
Muzzioli, Silvia - 2012
The aim of this paper is twofold: to investigate how the information content of implied volatility varies according to … moneyness and option type and to compare option-based forecasts with historical volatility. The different information content of … implied volatility is examined for the most liquid at-the-money and out-of-the-money options: put (call) options for strikes …
Persistent link: https://www.econbiz.de/10013110064
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Determinants of Implied Volatility Smiles - An Empirical Analysis Using Intraday DAX Equity Options
Rathgeber, Andreas - 2018
By extending and reviewing determinants of the implied volatility in the context of high frequency (HF) trade …
Persistent link: https://www.econbiz.de/10012932062
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Empirical pricing kernels and investor preferences
Detlefsen, Kai (contributor); Härdle, Wolfgang (contributor) - 2007
three market regimes. A consistent parametric framework of stochastic volatility is used. All empirical market utility …
Persistent link: https://www.econbiz.de/10003633572
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The Joint Estimation of Term Structures and Credit Spreads
Houweling, Patrick; Hoek, Jaap; Kleibergen, Frank - 1999
We present a new framework for the joint estimation of the default-free government term structure and corporate credit spread curves. By using a data set of liquid, German mark denominated bonds, we show that this yields more realistic spreads than traditionally obtained spread curves that...
Persistent link: https://www.econbiz.de/10010324679