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decomposing realized volatility in its continuous and discontinuous jump component. First, we analyze the relation between … volatility and trading activity. Coherent with existing studies we find that the driving factor of the relation between … Data ; Realized Volatility ; Price Jump ; Trading Activity ; Urgent Market Message …
Persistent link: https://www.econbiz.de/10008989697
volatility impact of DAX futures trading. Our results confirm a volatility-reducing impact of DAX futures trading, whereas the … stability ; financial market volatility ; GARCH ; stock index futures ; derivatives …
Persistent link: https://www.econbiz.de/10009673721
, and credit default swaps. Following the disaster BP shares dropped more than 50 percent in value, with high volatility. BP … share trading volume increased thirteen-fold, and option trading volume increased twenty-fold. The implied volatility of BP …
Persistent link: https://www.econbiz.de/10013141655
This paper proposes a new reduced-form model for the pricing of VIX derivatives that includes an independent stochastic jump intensity factor and co-jumps in the level and variance of VIX, while allowing the mean of VIX variance to be time-varying. I t the model to daily prices of futures and...
Persistent link: https://www.econbiz.de/10012838510
stability. A case in point is the abrupt market crash of short volatility strategies on February 5th 2018. In this paper, we …
Persistent link: https://www.econbiz.de/10012585893
volatility surface. The rapid development of the CDS market has provided convenient products to extract credit risk, and its … interaction with equity volatility has been analyzed in many studies. However, in most of them the 5-year credit default swap … spread is used to measure credit risk, whilst the at-the-money 1-month implied volatility is used to measure equity …
Persistent link: https://www.econbiz.de/10014254192
In this work, I study the impact of high-frequency trading (HFT) on price discovery and volatility in the Bund futures … price discovery compared to Non-HFTs, but also add a higher share to noise than to permanent volatility. Moreover, I find … evidence that HFTs tend to supply less liquidity after an unexpected rise in market volatility and prior to upcoming …
Persistent link: https://www.econbiz.de/10012988629
Bitcoin plunged by 30% on May 19, 2021. We examine the outage the largest crypto exchange Binance experienced during the crash, when it halted trading for retail clients and stopped providing transaction data. We find evidence that Binance back-filled these missing transactions with data that...
Persistent link: https://www.econbiz.de/10013435273
issues. Options and futures on corporate securities can be evaluated using the firm's common stock price and its volatility …
Persistent link: https://www.econbiz.de/10013053782
We evaluate price discovery in the natural gas futures and futures options markets using a transaction based approach. By sampling market maker prices, we allow for a distinction between buy and sell prices, both directly from the futures market, and implied from the options market. Information...
Persistent link: https://www.econbiz.de/10013008185