Showing 1 - 6 of 6
The authors explore the time-series properties of stock returns on the London Stock Exchange around the 1986 market restructuring (Big Bang) and the 1987 stock market crash using a modified GARCH model. Using this general dynamic model, which allows intradaily returns to have different impacts...
Persistent link: https://www.econbiz.de/10005238412
The authors use an extension of the equilibrium framework of M. Rubinstein (1976) and M. Brennan (1979) to derive an option valuation formula when the stock return volatility is both stochastic and systematic. Their formula incorporates a stochastic volatility process as well as a stochastic...
Persistent link: https://www.econbiz.de/10005302503
This paper defines the news impact curve that measures how new information is incorporated into volatility estimates. Various new and existing ARCH models, including a partially nonparametric one, are compared and estimated with daily Japanese stock return data. New diagnostic tests are...
Persistent link: https://www.econbiz.de/10005334337
The theory of storage implies that inventory and demand conditions affect (1) the variances and correlations of commodity spot and forward prices and (2) the spread between spot and forward prices. For four industrial metals and one precious metal over the 1986-92 period, the observed relations...
Persistent link: https://www.econbiz.de/10005728095
In this paper, the authors consider a framework in which the cross-sectional and time-series behavior of the yield curve can be studied simultaneously. They examine the relationship between the yield curve and the time-varying conditional volatility of the Treasury bill market. The authors...
Persistent link: https://www.econbiz.de/10005222126
We study the information content of implied volatility from several volatility specifications of the Heath-Jarrow-Morton (1992) (HJM) models relative to popular historical volatility models in the Eurodollar options market. The implied volatility from the HJM models explains much of the...
Persistent link: https://www.econbiz.de/10005564148