The Indian corporate bond market is still developing, and as such there are some peculiarities that might not be found in a matured market. This paper describes the state of development and key obstacles to further development. It reveals some unusual market behavior and patterns from available...

This paper evaluates how different types of speculation affect the volatility of commodities' futures prices. We adopt four indexes of speculation: Working's T, the market share of non-commercial traders, the percentage of net long speculators over total open interest in future markets, which...

We document a negative and asymmetric contemporaneous relation of European stock and implied volatility returns. The negative relation is significantly more pronounced at the highest quantile of the stock market return distribution (i.e. largest price decrease). The relation between stock...

For many decades the only way to invest in volatility has been through trading options, futures, or variance swaps. But in recent years a number of volatility-related exchange traded Funds (ETFs) and Exchange Traded Notes (ETNs) have been launched which make volatility trading accessible to the...

This paper quantifies the impacts of individual house price risk on the pricing of equity release products. An individual house price model is employed to explain house price variations by heterogeneous characteristics. A Vector Auto-Regression (VAR) model is adopted to project the overall house...

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...

This paper analyses futures prices for four energy commodities (light sweet crude oil, heating oil, gasoline and natural gas) and five agricultural commodities (corn, oats, soybean oil, soybeans and wheat), over the period 1986-2010. Using CCC and DCC multivariate GARCH models, we find that...

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...

In this article we address risk characteristics and rating of Collateralized Commodity Obligations (CCO), which are recently devised structured products similar to the Collateralized Debt Obligation (CDO). Commodities as an asset class have been in the spotlight of investors' attention for the...

This paper applies a nonparametric method based on realized and bipower variations calculated from intraday data to identify jumps in daily futures prices of crude oil, heating oil and natural gas contracts traded on the New York Mercantile Exchange. The sample period of our intraday data covers...