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No arbitrage global parametrization for the eSSVI volatility surface
Mingone, Arianna - 2022
The article describes a global and arbitrage-free parametrization of the eSSVI surfaces introduced by Hendriks and Martini in 2019. A robust calibration of such surfaces has already been proposed by the quantitative research team at Zeliade in 2019, but it is sequential in expiries and lacks of...
Persistent link: https://www.econbiz.de/10013292792
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International Reserves and Local Currency Internationalization : An Empirical Study on the Japanese Yen
Zhang, Zhiwen - 2010
effect on Yen internationalization. After controlling for the Yen's exchange rate volatility and the once-in-100-year …This paper employs the GMM estimator to empirically investigate the effects of Japanese international reserves on Yen … internationalization from 1976 through 2009 by specifying the regression benchmark based on the long-run determinants of Yen …
Persistent link: https://www.econbiz.de/10013138172
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The Baltic Dry Index as a Predictor of Global Stock Returns, Commodity Returns, and Global Economic Activity
Bakshi, Gurdip - 2012
The goal of this paper is to show that the growth rate of the Baltic Dry Index (BDI) has predictive ability for a range of stock markets, which is demonstrated through in-sample tests and out-of-sample statistics.The documented stock return predictability is also of economic significance, as...
Persistent link: https://www.econbiz.de/10013115046
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The Baltic Dry Index as a Predictor of Global Stock Returns, Commodity Returns, and Global Economic Activity
Bakshi, Gurdip - 2012
The goal of this paper is to show that the growth rate of the Baltic Dry Index (BDI) has predictive ability for a range of stock markets, which is demonstrated through in-sample tests and out-of-sample statistics.The documented stock return predictability is also of economic significance, as...
Persistent link: https://www.econbiz.de/10013115293
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Covering the World : Global Evidence on Covered Calls
Israelov, Roni - 2017
components: equity exposure, short volatility exposure, and equity timing. This paper applies that attribution methodology to … most of the strategy's risk and return, while the short volatility exposure has the highest Sharpe ratio of the strategy …-managed covered calls may be viewed as a defensive alternative to global equity, providing similar returns with lower volatility and …
Persistent link: https://www.econbiz.de/10012953741
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Variance Risk Premiums in Emerging Markets : Global Integration and Economic Uncertainty
Qiao, Fang - 2019
We construct variance risk premiums for the nine major emerging markets of Brazil, China, India, South Korea, Mexico, Poland, Russia, South Africa, and Taiwan from 2000 to 2017 using the sample-extension methodology in Lynch and Wachter (2013). Both the emerging market and developed market...
Persistent link: https://www.econbiz.de/10012899001
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The Determinants of Global Bank Credit-Default-Swap Spreads
Hasan, Iftekhar - 2017
fundamentals to price global bank credit risk. First, we find that variables predicted by structural models (leverage, volatility … countries with lower stock market volatility and/or more financial conglomerates restrictions tend to have lower CDS spreads …
Persistent link: https://www.econbiz.de/10012969429
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The Global Determinants of International Equity Risk Premiums
Londono, Juan M.; Xu, Nancy R. - 2021
We examine the commonality in international equity risk premiums by linking empirical evidence for the international stock return predictability of US downside and upside variance risk premiums (DVP and UVP, respectively) with implications from an international asset pricing framework, which...
Persistent link: https://www.econbiz.de/10013245387
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Dynamics of Global Credit Markets
Wenzler, Josef-Stefan - 2020
Dynamics of credit markets impact almost all participants in financial markets. Yet, despite rapidly growing international credit markets, we know little about the dynamics of global credit markets, as most studies focus on the US. Here, I propose a new distance-to-default model, empirically...
Persistent link: https://www.econbiz.de/10012848955
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The Global Market for Exchange-Traded Derivatives : 21st Century Trends, Innovation and Failure
Emm, Ekaterina E.; Gay, Gerald D.; Ma, Han; Ren, Honglin - 2022
Utilizing a comprehensive database spanning 110 exchanges in five geographic regions, we examine trends in trade activity and contract innovation of exchange-traded futures and options over the period 2002–2021. We find that global volume has experienced a ten-fold increase driven by...
Persistent link: https://www.econbiz.de/10013295411