Narrow search
Showing 131 - 140 of 383,833
Cover Image
The Role of Outliers and Oil Price Shocks on Volatility of Metal Prices
Behmiri, Niaz - 2015
This study investigates the price volatility of metals, using the GARCH and GJR models. First we examine the … persistence of volatility and the leverage effect across metal markets taking into account the presence of outliers, and second we … estimate the effects of oil price shocks on the price volatility of metals, allowing for the asymmetric responses. We use daily …
Persistent link: https://www.econbiz.de/10013015934
Cover Image
Predictable Dynamics in Implied Volatility Surfaces from OTC Currency Options
Chalamandaris, George - 2010
Recent empirical studies report predictable dynamics in the volatility surfaces implied by observed index option prices …
Persistent link: https://www.econbiz.de/10013150628
Cover Image
A New Look at Copper Markets : A Regime-Switching Jump Model
Chan, Wing H. - 2009
GARCH-jump models of metal price returns, while allowing for sudden movements (jumps), apply the same specification of the jump component in both ‘bear' and ‘bull' markets. As a result, the more frequent but relatively small jumps that occur in both bear and bull markets dominate the...
Persistent link: https://www.econbiz.de/10013158086
Cover Image
Market Return Around the Clock : A Puzzle
Bondarenko, Oleg - 2020
We study how the excess market return depends on the time of the day using E-mini S&P 500 futures that are actively traded for almost 24 hours. Strikingly, four hours around European open account for the entire average market return. This period's returns are consistently positive in every year,...
Persistent link: https://www.econbiz.de/10012834630
Cover Image
The Dynamics of Commodity Return Comovements
Prokopczuk, Marcel - 2020
. Volatility comovements only react following the global financial crisis. Our results cast doubt on the persistence of the effects …
Persistent link: https://www.econbiz.de/10012837070
Cover Image
On Commodity Price Limits
Janardanan, Rajkumar - 2019
commodity futures markets. We ask whether limit events are the result of shocks to fundamental volatility or the result of … temporary volatility induced by the trading of non-commercial market participants (speculators). We find little evidence that …
Persistent link: https://www.econbiz.de/10012900566
Cover Image
Jumps in Commodity Markets
Nguyen, Duc Binh Benno - 2019
This paper investigates price jumps in commodity markets. We find that jumps are rare and extreme events but occur less frequently than in stock markets. Nonetheless, jump correlations across commodities can be high depending on the commodity sectors. Energy, metal and grains commodities show...
Persistent link: https://www.econbiz.de/10012900597
Cover Image
Commodity Returns and Their Volatility in Relation to Speculation : A Consistent Empirical Approach
Haase, Marco - 2019
proxies. Overall, we find a larger number of significant GC effects for volatilities than for returns. The volatility effect …
Persistent link: https://www.econbiz.de/10012903961
Cover Image
Time-Variations in Commodity Price Jumps
Diewald, Laszlo - 2019
, i.e. exhibits seasonality. We propose a stochastic volatility jump-diffusion model to capture this seasonal variation …
Persistent link: https://www.econbiz.de/10012905261
Cover Image
Variance Risk in Commodity Markets
Prokopczuk, Marcel - 2019
We analyze the variance risk of commodity markets. We construct synthetic variance swaps and find significantly negative realized and expected variance swap payoffs in most markets. We find evidence of commonalities among the realized payoffs of commodity variance swaps. We also document...
Persistent link: https://www.econbiz.de/10012905452