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Identifying speculative demand shocks in commodity futures markets through changes in volatility
Hachula, Michael; Rieth, Malte - 2017
This paper studies the effects of financial speculation on commodity futures returns, using publicly available data from the US Commodity Futures Trading Commission, aggregated by trader groups. We exploit the heteroskedasticity in the weekly data to identify exogenous variation in speculators'...
Persistent link: https://www.econbiz.de/10011619592
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Liquidity Spillovers Across Assets Classes
Zafeiridou, Christina - 2016
information channels): when liquidity providers face higher funding constraints, liquidity spillovers across assets increase …Liquidity spillovers -- i.e., the transmissions of liquidity shocks from one asset to another -- are an important yet … not fully understood feature of price formation in financial markets. In this paper, I examine liquidity spillovers across …
Persistent link: https://www.econbiz.de/10013003036
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Hedging-Induced Correlation in Illiquid Markets
Brøgger, Søren Bundgaard - 2020
I develop a model with two assets in which the hedging activity of derivatives dealers, interacting with market illiquidity, distorts the covariance structure of the market. I apply the model to hedging of counter party risk, and find strong support for the model's key predictions. Using...
Persistent link: https://www.econbiz.de/10012834282
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Computation of Market Risk Measures with Stochastic Liquidity Horizon
Colldeforns-Papiol, Gemma - 2017
measurement horizon. The estimation of the ES for several trading desks and taking into account different liquidity horizons is …
Persistent link: https://www.econbiz.de/10012967259
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The True Invariant of an Arbitrage Free Portfolio : Finite Liquidity Effect
Schmidt, Anatoly B. - 2012
liquidity. The analytical results are derived for linear market impact. As in the case of infinite liquidity (Schmidt, 2003 …
Persistent link: https://www.econbiz.de/10013101006
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Liquidity derivatives
Bagnara, Matteo; Jappelli, Ruggero - 2022
It is well established that investors price market liquidity risk. Yet, there exists no financial claim contingent on … liquidity. We propose a contract to hedge uncertainty over future transaction costs, detailing potential buyers and sellers …. Introducing liquidity derivatives in Brunnermeier and Pedersen (2009) improves financial stability by mitigating liquidity spirals …
Persistent link: https://www.econbiz.de/10013365214
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Liquidity risk, instead of funding costs, leads to a valuation adjustment for derivatives and other assets
Nauta, Bert-Jan - In: International journal of theoretical and applied finance 18 (2015) 2, pp. 1-30
Persistent link: https://www.econbiz.de/10011403233
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Imperfect predictability and mutual fund dynamics. How managers use predictors in changing systematic risk.
Amisano, Gianni; Savona, Roberto - 2008
Suppose a fund manager uses predictors in changing port-folio allocations over time. How does predictability translate into portfolio decisions? To answer this question we derive a new model within the Bayesian framework, where managers are assumed to modulate the systematic risk in part by...
Persistent link: https://www.econbiz.de/10011604927
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On the fundamental theorem of asset pricing: random constraints and bang-bang no-arbitrage criteria
Evstigneev, Igor V.; Schürger, Klaus; Taksar, Michael I. - 2002
The paper generalizes and refines the Fundamental Theorem of Asset Pricing of Dalang, Morton and Willinger in the following two respects: (a) the result is extended to a model with portfolio constraints; (b) versions of the no-arbitrage criterion based on the bang-bang principle in control...
Persistent link: https://www.econbiz.de/10010263069
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The Risk Management of Minimum Return Guarantees
Mahayni, Antje; Schlögl, Erik - 2003
We analyse contracts which pay out a guaranteed minimum rate of return and a fraction of a positive excess rate, which is specified on the basis of a benchmark portfolio. These contracts are closely related to unit--linked life--insurance/savings plan products and can be considered as...
Persistent link: https://www.econbiz.de/10010263089