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Peso-Dollar forward market analysis : explaining arbitrage opportunities during the financial crisis
Hernández, Juan R. - 2014
Using a vector error correction model I test whether shocks in the funding liquidity conditions in the U.S. and Europe separately explain deviations from the covered interest parity (CIP) between the U.S. Dollar and the Mexican Peso. I find that: (1) Apparent deviations from the CIP seem to be...
Persistent link: https://www.econbiz.de/10010370903
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Variance Risk Premia, Asset Predictability Puzzles, and Macroeconomic Uncertainty
Zhou, Hao - 2012
uncertainty and recursive utility function. Within such a framework, the negative volatility risk premium implied from option …
Persistent link: https://www.econbiz.de/10013117074
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What Goes into Risk Neutral Volatility? Empirical Estimates of Risk and Subjective Risk Preferences
Figlewski, Stephen - 2019
Under Black-Scholes (BS) assumptions, empirical volatility and risk neutral volatility are given by a single parameter …, which captures all aspects of risk. Inverting the model to extract implied volatility from an option's market price gives … the market's forecast of future empirical volatility. But real world returns are not lognormal, volatility is stochastic …
Persistent link: https://www.econbiz.de/10012902982
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Variance Risk Premia, Asset Predictability Puzzles, and Macroeconomic Uncertainty
Zhou, Hao - 2018
This paper reviews the predictability evidence of the variance risk premium: (1) it predicts significant positive risk premiums across equity, bond, currency, and credit markets; (2) the predictability peaks at a few month horizons and dies out afterwards; (3) such a short-run predictability is...
Persistent link: https://www.econbiz.de/10012940510
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The Information Content of the Implied Volatility Term Structure on Future Returns
Wang, Yaw-Huei - 2017
implied volatility index level and term structure, we show the important role of the term structure in determining future …
Persistent link: https://www.econbiz.de/10012972853
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Emission Permits and the Announcement of Realized Emissions : Price Impact, Trading Volume, and Volatilities
Hitzemann, Steffen - 2016
before the event, as suggested by significantly lower trading volumes and volatilities. The high event-day volatility is …
Persistent link: https://www.econbiz.de/10013007371
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Term structure of interest rates with short-run and long-run risks
Grishchenko, Olesya V.; Song, Zhaogang; Zhou, Hao - In: The Journal of finance and data science : JFDS 8 (2022), pp. 255-295
We find that interest rate variance risk premium (IRVRP) - the difference between implied and realized variances of interest rates - is a strong predictor of U.S. Treasury bond returns of maturities ranging between one and ten years for return horizons up to six months. IRVRP is not subsumed by...
Persistent link: https://www.econbiz.de/10014433708
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Heterogeneous Expectations and Tests of Efficiency in the Yen/Dollar Forward Exchange Rate Market
Elliott, Graham; Ito, Takatoshi - 1998
This paper examines the efficiency of the forward yen/dollar market using micro survey data. Conventional tests of …
Persistent link: https://www.econbiz.de/10014222188
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Noise traders' trigger rates, FX options, and smiles
Pierdzioch, Christian - 2000
the pricing of European-style foreign currency options and for the volatility strike structure implicit in these contracts … is devoloped. The curvature of the volatility strike structure is explained by focusing attention on the expected … characteristic convex shape of volatility strike structures documented in the empirical literature. A volatility-based test for …
Persistent link: https://www.econbiz.de/10011476532