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Option-implied term structures
Vogt, Erik - 2014
The illiquidity of long-maturity options has made it difficult to study the term structures of option spanning …
Persistent link: https://www.econbiz.de/10010459730
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Relative pricing and risk premia in equity volatility markets
Van Tassel, Peter - 2018
, and products, including variance swaps, straddles, and VIX futures. In addition, the paper derives a closed …-form relationship between the prices of variance swaps and VIX futures. While tightly linked, VIX futures exhibit deviations of varying … and their relationship to VIX futures' return predictability. …
Persistent link: https://www.econbiz.de/10011904683
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Peso-Dollar forward market analysis : explaining arbitrage opportunities during the financial crisis
Hernández, Juan R. - 2014
Using a vector error correction model I test whether shocks in the funding liquidity conditions in the U.S. and Europe separately explain deviations from the covered interest parity (CIP) between the U.S. Dollar and the Mexican Peso. I find that: (1) Apparent deviations from the CIP seem to be...
Persistent link: https://www.econbiz.de/10010370903
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An Empirical Study on the Lead-Lag Relationship between Five-Year Chinese Government Spot Bonds and Futures Markets
Qin, Rong-Yuan - 2017
futures index and its underlying spot index, using daily data from September 06, 2013 to August 31, 2016. We carry out unit … variance decomposition analysis. The empirical results of this paper reveal that five-year Chinese government bond futures and … variance decomposition analysis show that the returns of five-year Chinese government bond futures one-sidedly lead the …
Persistent link: https://www.econbiz.de/10012960542
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Spread Risk Premia in Corporate Credit Default Swap Markets
Entrop, Oliver - 2016
The spread risk premium component of credit default swap (CDS) spreads represents a compensation demanded by protection sellers for future changes in CDS spreads caused by unpredictable fluctuations in the reference entity's risk-neutral default intensity. This paper defines and estimates a...
Persistent link: https://www.econbiz.de/10013008411
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The law of one price in equity volatility markets
Van Tassel, Peter - 2020
-arbitrage restrictions, the prices of VIX futures exhibit significant deviations relative to their option-implied upper bounds. Static … arbitrage opportunities occur when the prices of VIX futures violate their bounds. The deviations widen during periods of market … stress and predict the returns of VIX futures. A relative value trading strategy based on the deviation measure earns a large …
Persistent link: https://www.econbiz.de/10012391498
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Nonparametric Estimation of State-Price Densities Implicit in Interest Rate Cap Prices
Li, Haitao - 2010
Based on a multivariate extension of the constrained locally polynomial estimator of Aït-Sahalia and Duarte (2003), we provide one of the first nonparametric estimates of probability densities of LIBOR rates under forward martingale measures and state-price densities (SPDs) implicit in interest...
Persistent link: https://www.econbiz.de/10013149933
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The term structure of systematic and idiosyncratic risk
Hollstein, Fabian; Prokopczuk, Marcel; Wese Simen, Chardin - 2017
We study the term structure of variance (total risk), systematic and idiosyncratic risk. Consistent with the expectations hypothesis, we find that, for the entire market, the slope of the term structure of variance is mainly informative about the path of future variance. Thus, there is little...
Persistent link: https://www.econbiz.de/10011751173
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The superiority of time-varying hedge ratios in Turkish futures market
Olgun, Onur; Yetkiner, İbrahim Hakan - 2009
use portfolio variance reduction as the measure of hedging effectiveness. We find that timevarying hedge ratios outperform … the constant ratios for both in-sample and out-of-sample datasets and provide the minimum variance values. -- Futures … Pricing ; Hedging ; M-GARCH ; Hedging effectiveness …
Persistent link: https://www.econbiz.de/10003896560
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Futures Hedge Profit Measurement Error-Correction Model vs. Regression Approach Hedge Ratios, and Data Error Effects
Ferguson, Robert - 2017
This paper proposes that, and explains why, hedge profits and regression approach hedge ratios should be calculated using cost-of-carry-adjusted price changes. This Modified Regression Method for determining hedge ratios is denoted MRM. The paper discusses the Error-Correction Model for hedge...
Persistent link: https://www.econbiz.de/10012953645