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Linkages between gold and Latin American equity markets : portfolio implications

Yousaf, Imran; Hanif, Hasan; Ali, Shoaib; … - In: Journal of economics, finance & administrative science 26 (2021) 52, pp. 237-251

Purpose - The authors aim to examine the mean and volatility linkages between the gold market and the Latin American equity markets in the entire sample period and two crises periods, namely the US financial crisis and the Chinese crash. Design/methodology/approach - To examine the return and...

Persistent link: https://www.econbiz.de/10012813845

A Second Look at Post Crisis Pricing of Derivatives - Part I : A Note on Money Accounts and Collateral

Tumasyan, Hovik - 2019

The paper reviews origins of the approach to pricing derivatives post-crisis by following three papers that have received wide acceptance from practitioners as the theoretical foundations for it - [Piterbarg 2010], [Burgard and Kjaer 2010] and [Burgard and Kjaer 2013].The review reveals several...

Persistent link: https://www.econbiz.de/10012896247

VIX Futures and Options - A Case Study of Portfolio Diversification during the 2008 Financial Crisis

Szado, Edward - 2019

In 2008, the S&P 500 experienced a drawdown of about 50% from peak to trough. Many assets which are typically considered effective equity diversifiers also faced precipitous losses. In stark contrast, volatility levels as measured by VIX experienced significant increases and in 2008 repeatedly...

Persistent link: https://www.econbiz.de/10012906250

The Impact of Liquidity on Senior Credit Spreads During the Subprime Crisis

Marra, Miriam - 2013

This paper examines the effects of liquidity during the 2007-09 crisis, focussing on the senior tranche of the CDX.NA.IG Index and on Moody's AAA Corporate Bond Index. The aim is to understand whether these senior credit indices were discounted below fair value and to what extent this discount...

Persistent link: https://www.econbiz.de/10013084230

Contagion of Fear : Is the Impact of COVID-19 on Sovereign Risk Really Indiscriminate?

Cevik, Serhan; Ozturkkal, Belma - 2021

This paper investigates the impact of infectious diseases on the evolution of sovereign credit default swap (CDS) spreads for a panel of 77 advanced and developing countries. Using annual data over the 2004-2020 period, we find that infectious-disease outbreaks have no discernible effect on CDS...

Persistent link: https://www.econbiz.de/10013250064

Non-Equilibrium Skewness, Market Crises, and Option Pricing : Non-Linear Langevin Model of Markets with Supersymmetry

Halperin, Igor - 2021

analytically tractable way. The model produces time-varying variance, skewness and kurtosis of market returns, whose time … closed-form approximation by a mixture of three Black-Scholes prices, which can be calibrated to index options data and used …

Persistent link: https://www.econbiz.de/10013251128

Biases in CDS Spreads after the CDS Big Bang

Wang, Xinjie - 2020

The ISDA CDS standard model assumes a single flat hazard rate (default intensity) rather than a term structure of hazard rates. This assumption introduces biases into CDS spreads for empirical research after the CDS Big Bang. This paper is the first to document the biases and provide a simple...

Persistent link: https://www.econbiz.de/10012845187

Hedging house price risk with futures contracts after the bubble burst

Schorno, Patrick J.; Swidler, Steve M.; Wittry, Michael D. - In: Finance Research Letters 11 (2014) 4, pp. 332-340

This paper extends the existing literature on managing house price risk. While previous work finds that a hedger would have reduced a large amount of variance in housing returns in Las Vegas, Nevada using Chicago Mercantile Exchange (CME) futures contracts, we show that neither static nor...

Persistent link: https://www.econbiz.de/10011118185

War Discourse and Disaster Premia : 160 Years of Evidence from Stock and Bond Markets

Hirshleifer, David; Mai, Dat; Kuntara Pukthuanthong - National Bureau of Economic Research - 2023

Using a semi-supervised topic model on 7,000,000 New York Times articles spanning 160 years, we test whether topics of media discourse predict future stock and bond market returns to test rational and behavioral hypotheses about market valuation of disaster risk. Focusing on media discourse...

Persistent link: https://www.econbiz.de/10014287305

Recent Developments in Financial Risk and the Real Economy

Dew-Becker, Ian; Giglio, Stefano - National Bureau of Economic Research - 2023

-term decline - in the variance risk premium, and time variation in conditional skewness. We also introduce two new data series …: implied volatility from one-day options on grains for the period 1906-1936, and on cliquet options, which provide insurance …-dated options. Finally, we discuss new avenues for future research …

Persistent link: https://www.econbiz.de/10014437009