Showing 1 - 10 of 3,811
This paper introduces the Inverse Gamma (IGa) stochastic volatility model with time-dependent parameters, defined by the volatility dynamics dVt = κt.(θt − Vt).dt λt.Vt.dBt. This non-affine model is much more realistic than classical affine models like the Heston stochastic volatility...
Persistent link: https://www.econbiz.de/10013004351
The martingale hypothesis for daily and weekly rates of change of futures prices for five currencies is tested in this paper. With daily data, we find some evidence against the null hypothesis for each currency. Although institutionally imposed limits on daily price changes were binding fairly...
Persistent link: https://www.econbiz.de/10013110029
The foreign currency market in a small open economy, like Israel, plays a major role in fiscal and monetary policy decisions, through its effects on the financial markets and the real economy. In this paper we explore the liquidity and efficiency in three related foreign exchange options markets...
Persistent link: https://www.econbiz.de/10014053381
This paper contains three useful contributions: (1) it collects a new data-set of electronic transaction data on soybean futures from the Dalian Futures Exchange in China that records, not only the usual elements of each transaction (such as price and size) but also identifies broker and...
Persistent link: https://www.econbiz.de/10010318591
The lead-lag relationship in both returns and volatilities between spot and futures markets has been investigated extensively in the financial economics literature. Only a limited number of such studies have appeared on forward markets, primarily due to the lack of easy access to empirical data....
Persistent link: https://www.econbiz.de/10014206215
This study investigates the lead-lag relationship between the price movements of VIX futures and VIX index levels. As a proxy for the futures, the front month VIX futures contract is used. A Johansen cointegration approach with a vector error correction model and Granger causality analysis are...
Persistent link: https://www.econbiz.de/10012904389
This article introduces the rough path-dependent volatility (RPDV) model, a model structurally adapted to jointly capture two major empirical features of volatility: its rough behavior and its path-dependence.After presenting it in its general form and its link with other existing models in the...
Persistent link: https://www.econbiz.de/10014236064
Using high-frequency data, this study investigates intraday price discovery and volatility transmission between the Chinese stock index and the newly established stock index futures markets in China. Although the Chinese stock index started a drastic falling immediately after the stock index...
Persistent link: https://www.econbiz.de/10013132298
Equity index implied volatility functions are known to be excessively skewed in comparison with implied volatility at the single stock level. We study this stylized fact for the case of a major German stock index, the DAX, by recovering index implied volatility from simulating the 30 dimensional...
Persistent link: https://www.econbiz.de/10013092464
This paper examines the price discovery and volatility spill-over relationship for Indian commodity markets. We cover twelve actively traded commodities including agriculture, metal and energy and four commodity indices. Price discovery is confirmed for eight commodities and three indices with a...
Persistent link: https://www.econbiz.de/10013090095