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Does the pricing kernel anomaly reflect forward looking beliefs?
Sala, Carlo - 2015
precision parameter of the DP process is calibrated to the amount of trading activity in deep-out-of-the-money options. We use …
Persistent link: https://www.econbiz.de/10011506354
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Explaining time-varying risk of electricity forwards : trading activity and news announcements
Schulz, Frowin C. - 2010 - 2nd version: March 25, 2011
We elaborate economic explanations for the time-varying risk of month, quarter and year base load electricity forward contracts traded on the Nord Pool Energy Exchange from January 2006 to March 2010. Daily risk quantities are generated by decomposing realized volatility in its continuous and...
Persistent link: https://www.econbiz.de/10008989697
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Price discovery and foreign participation in the Republic of Korea's government bond cash and futures markets
Park, Cyn-Young; Mercado, Rogelio V. <Jr.>; Choi, Jaehun; … - 2015
This paper examines the impact of foreign participation in Korean Treasury Bond (KTB) futures and its role in price discovery for KTBs, using daily transactions data from the over-the-counter market for KTBs and from the Korea Exchange for the futures. Our analysis suggests that foreign trading...
Persistent link: https://www.econbiz.de/10010519526
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Volatility impact of stock index futures trading : a revised analysis
Matanovic, Eva; Wagner, Helmut - In: Journal of applied finance & banking 2 (2012) 5, pp. 113-126
The recent financial crisis renewed concerns about a possible destabilizing impact of derivatives trading. Despite a very active research, the question whether or not derivatives tend to destabilize financial markets has not yet been answered to satisfaction. This contribution aims to revise the...
Persistent link: https://www.econbiz.de/10009673721
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Risk premia and financial modelling without measure transformation
Platen, Eckhard - 2000
This paper describes a financial market modelling framework that exploits the notion of a deflator . The denominations of the deflator measured in units of primary assets form a minimal set of basic financial quantities that completely specify the overall market dynamics, where deflated asset...
Persistent link: https://www.econbiz.de/10009612031
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The price of the smile and variance risk premia
Gruber, Peter H.; Tebaldi, Claudio; Trojani, Fabio - 2015 - This version: September 8, 2015
traded in SPX option markets. The price of the smile reflects two persistent volatility and skewness risks, which imply a …
Persistent link: https://www.econbiz.de/10011412294
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The Puzzle of Privately-Imposed Price Limits : Are the Limits Imposed by Financial Exchanges Effective
Buyuksahin, Bahattin - 2011
futures market, the associated (but unrestricted) options market becomes the price discovery market: much of the trading that … would have occurred on the futures market migrates to the options market, and options prices accurately predict the … (unconstrained) futures price the next day. We also show that the presence of options mitigates the effect of price limits on …
Persistent link: https://www.econbiz.de/10013131781
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30-Day Interbank Futures : Investigating the Process of Price Discovery Following RBA Cash Target Rate Announcements
Smales, Lee A. - 2012
The article examines microstructure issues in the Australian Interbank futures market by analyzing the price adjustment process following scheduled Cash Target Rate announcements by the Reserve Bank of Australia. In characterizing the market response, three distinct stages of price formation and...
Persistent link: https://www.econbiz.de/10013114405
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An Asset Pricing Theory of Volatility Tail Behavior
Bakshi, Gurdip - 2012
We contrast two different asset pricing models, where the pricing kernel either (i) increases in the volatility dimension, reflecting investors' aversion to volatility, or (ii) could be non-monotonic in volatility, reflecting heterogeneity in investors' beliefs. The two models yield opposite...
Persistent link: https://www.econbiz.de/10013115088
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Predictable Dynamics in Higher Order Risk-Neutral Moments : Evidence from the S&P 500 Options
Neumann, Michael - 2012
from the market prices of S&P 500 index options. To this end, we conduct a horse race among alternative forecasting models … find that higher risk-neutral moments can be statistically forecasted. However, only the one-day-ahead skewness forecasts …
Persistent link: https://www.econbiz.de/10013115379