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Macroeconomic determinants of stock market returns, volatility and volatility risk-premia

Corradi, Valentina (contributor); … - 2008

This paper introduces a no-arbitrage framework to assess how macroeconomic factors help explain the risk-premium agents … require to bear the risk of fluctuations in stock market volatility. We develop a model in which return volatility and … volatility risk-premia are stochastic and derive no-arbitrage conditions linking volatility to macroeconomic factors. We estimate …

Persistent link: https://www.econbiz.de/10003848514

Macroeconomic determinants of stock market volatility and volatility risk-premiums

Corradi, Valentina; Distaso, Walter; Mele, Antonio - 2012

This paper introduces a no-arbitrage framework to assess how macroeconomic factors help explain the risk-premium agents … require to bear the risk of fluctuations in stock market volatility. We develop a model in which stock volatility and … volatility risk-premia are stochastic and derive no-arbitrage conditions linking volatility to macroeconomic factors. We estimate …

Persistent link: https://www.econbiz.de/10009558368

Crude oil futures trading and uncertainty

Czudaj, Robert L. - 2018

This paper examines the effect of different dimensions of uncertainty on expectations of WTI crude oil futures momentum traders at a daily level. We consider two concepts of uncertainty and two momentum trading indicators based on technical analysis. In addition, we also use wavelet techniques...

Persistent link: https://www.econbiz.de/10011979326

Modelling volatility spillovers for bio-ethanol, sugarcane and corn

Chang, Chia-Lin; McAleer, Michael; Wang, Yu-Ann - 2016

commodities and biofuel helps commodity suppliers hedge their portfolios, and manage the risk and co-risk of their biofuel and … should be considered as viable futures products in financial portfolios for risk management. …

Persistent link: https://www.econbiz.de/10011441704