Showing 81 - 90 of 61,266
The article applies a Regime Switching Fractionally Integrated Error Correction Generalized Orthogonal GARCH model (RSFIEC-GO) for optimal futures hedging. RSFIEC-GO captures both the relationships of fractional cointegration and regime shifts between spot and futures returns. Empirical...
Persistent link: https://www.econbiz.de/10013149005
We consider HJM type models for the term structure of futures prices, where the volatility is allowed to be an arbitrary smooth functional of the present futures privce curve. Using a Lie algebraic approach we investigate when the infinite dimensional futures price process can be realized by a...
Persistent link: https://www.econbiz.de/10010281154
The timing option embedded in a futures contract allows the short position to decide when to deliver the underlying asset during the last month of the contract period. <p> In this paper we derive, within a very general incomplete market framework, an explicit model independent formula for the...</p>
Persistent link: https://www.econbiz.de/10005649426
We consider HJM type models for the term structure of futures prices, where the volatility is allowed to be an arbitrary smooth functional of the present futures privce curve. Using a Lie algebraic approach we investigate when the infinite dimensional futures price process can be realized by a...
Persistent link: https://www.econbiz.de/10005771181
We conduct an extensive empirical analysis of VIX derivative valuation models before, during and after the 2008-2009 fi nancial crisis. Since the restrictive mean reversion and heteroskedasticity features of existing models yield large distortions during the crisis, we propose generalisations...
Persistent link: https://www.econbiz.de/10014199821
Participants in the maritime industry place much interest in the Forward Freight Agreements (FFA/FFAs), being an indispensable tool for hedging shipping freight risk. Our paper innovates by directly comparing the FFA predictions with their actual future settlement prices as well as by examining...
Persistent link: https://www.econbiz.de/10014078174
In December 2017, both the CBOE and the CME introduced futures contracts on bitcoin. We investigate to what extent they provide useful information for the price discovery of bitcoin. We rely on the information share methodology of Hasbrouck (1995) and Gonzalo and Granger (1995) and find that the...
Persistent link: https://www.econbiz.de/10012920283
This paper investigates how technical trading systems exploit the momentum and reversal effects in the S&P 500 spot and futures market. When based on daily data, the profitability of 2580 technical models has steadily declined since 1960, and has been unprofitable since .the early 1990s....
Persistent link: https://www.econbiz.de/10013226778
This paper investigates how technical trading systems exploit the momentum and reversal effects in the S&P 500 spot and futures market. The former is exploited by trend-following models, while the latter by contrarian models. In total, the performance of 2580 widely used models is analyzed. When...
Persistent link: https://www.econbiz.de/10013135708
This paper tests the random walk hypothesis and weak form market efficiency in the VIX futures market using a variety of tests. A unit root in the aggregated market price series suggests that the VIX futures market is efficient. For the individual VIX futures price series, 51 of 54 futures...
Persistent link: https://www.econbiz.de/10013138661