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. A state-dependent volatility spillover GARCH hedging strategy is developed to capture the regime switching global equity … volatility spillover effect. Empirical results show that the NFNE futures exhibit superior effectiveness as an instrument for … (Morgan Stanley Capital International) world index futures further improves the hedging effectiveness compared with the …
Persistent link: https://www.econbiz.de/10011883272
We show that equity volatility serves as a determinant of future Treasury term-structure volatility over the recent … October 1997 to June 2013 period. We find that equity volatility contains incrementally reliable information for the … subsequent volatility of: (1) 10-year and 30-year bond futures returns, (2) the term-structure's level, and (3) the term …
Persistent link: https://www.econbiz.de/10013007815
Using high-frequency data, this study investigates intraday price discovery and volatility transmission between the … volatility of both markets …
Persistent link: https://www.econbiz.de/10013132298
This paper examines the price discovery and volatility spill-over relationship for Indian commodity markets. We cover … be competitive. Volatility spill-over is confirmed for only three commodities and none of the indices. This implies the …
Persistent link: https://www.econbiz.de/10013090095
Equity index implied volatility functions are known to be excessively skewed in comparison with implied volatility at … index implied volatility from simulating the 30 dimensional return system of all DAX constituents. Option prices are …-dependence coupled with asymmetric correlation response to negative news is essential to explain the index implied volatility skew …
Persistent link: https://www.econbiz.de/10013092464
This study investigates the lead-lag relationship between the price movements of VIX futures and VIX index levels. As a proxy for the futures, the front month VIX futures contract is used. A Johansen cointegration approach with a vector error correction model and Granger causality analysis are...
Persistent link: https://www.econbiz.de/10012904389
This article introduces the rough path-dependent volatility (RPDV) model, a model structurally adapted to jointly … capture two major empirical features of volatility: its rough behavior and its path-dependence.After presenting it in its … volatility formation mechanisms …
Persistent link: https://www.econbiz.de/10014236064
This presentation introduces the rough path-dependent volatility model (RPDVM). After defining the model and its …
Persistent link: https://www.econbiz.de/10014351201
This paper investigates whether dynamic volatility spillovers across shipping freight markets can be explained by a …
Persistent link: https://www.econbiz.de/10013248216
We investigate the role of crude oil spot and futures prices in the process of price discovery by using a cost-of-carry model with an endogenous convenience yield and daily data over the period from January 1990 to December 2008. We provide evidence that futures markets play a more important...
Persistent link: https://www.econbiz.de/10003949493