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Pricing Basket Spread Options With Default Risk Under GARCH-Jump Models 在 GARCH-Jump 模型下为具有违约风险的篮子价差期权定价
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-02-18 DOI: 10.1002/fut.22574
Dingding Dong, Xianda Qian, Xingchun Wang
{"title":"Pricing Basket Spread Options With Default Risk Under GARCH-Jump Models","authors":"Dingding Dong,&nbsp;Xianda Qian,&nbsp;Xingchun Wang","doi":"10.1002/fut.22574","DOIUrl":"https://doi.org/10.1002/fut.22574","url":null,"abstract":"<div>\u0000 \u0000 <p>In this article, we consider basket spread options with default risk in a pricing model, where GARCH-jump processes are employed to describe the dynamics of all the underlying assets, and default risk is incorporated in a reduced form model. After successfully deriving the approximate pricing formula, we utilize the average cumulative default rates provided by Moody's spanning from 1970 to 2015 to estimate the parameters in the default intensity. Finally, we illustrate the impact of jump risk and default risk on basket spread options after checking the accuracy and efficiency of the approximate prices via Monte Carlo simulation methods.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 5","pages":"441-454"},"PeriodicalIF":1.8,"publicationDate":"2025-02-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143793802","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Journal of Futures Markets: Volume 45, Number 3, March 2025 期货市场杂志：第45卷，第3期，2025年3月
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-02-12 DOI: 10.1002/fut.22519
{"title":"Journal of Futures Markets: Volume 45, Number 3, March 2025","authors":"","doi":"10.1002/fut.22519","DOIUrl":"https://doi.org/10.1002/fut.22519","url":null,"abstract":"","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 3","pages":"159"},"PeriodicalIF":1.8,"publicationDate":"2025-02-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22519","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143389071","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Dynamic Interaction Networks and Frequency Domain Features of Speculation and Volatility in US Energy Futures Markets 美国能源期货市场投机与波动的动态交互网络与频域特征
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-02-09 DOI: 10.1002/fut.22570
Jianmin Liu, Zeguang Li, Bluford Putnam, Arthur Yu
{"title":"Dynamic Interaction Networks and Frequency Domain Features of Speculation and Volatility in US Energy Futures Markets","authors":"Jianmin Liu,&nbsp;Zeguang Li,&nbsp;Bluford Putnam,&nbsp;Arthur Yu","doi":"10.1002/fut.22570","DOIUrl":"https://doi.org/10.1002/fut.22570","url":null,"abstract":"<div>\u0000 \u0000 <p>This paper investigates the interplay between speculative and price volatility in the energy futures markets over various cycles, utilizing wavelet coherence and a double-layer network approach. Contrary to conventional wisdom, we find that long-term price volatility in individual futures markets, driven by extreme events, persistently leads to increased speculative trading, partly associated with increased hedging and risk management activity. The connectedness of the two-layer network system is dominated by speculation and volatility spillovers in the short and long term, respectively. The cross-layer spillover effects between price volatility and speculation are more pronounced in the long term. The direct and network effects of speculation reinterpret the interaction patterns among various futures markets. Specifically, the crude oil market, as a net receiver of spillover effects, exhibits an impact of speculation on price volatility driven primarily by network effects. However, the natural gas market is dominated by the direct effects of speculation.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 5","pages":"407-428"},"PeriodicalIF":1.8,"publicationDate":"2025-02-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143793558","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Commodity Price Crash Risk and Crash Risk Contagion 商品价格崩盘风险和崩盘风险传染
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-02-07 DOI: 10.1002/fut.22566
Prachi Jain, Debasish Maitra
{"title":"Commodity Price Crash Risk and Crash Risk Contagion","authors":"Prachi Jain,&nbsp;Debasish Maitra","doi":"10.1002/fut.22566","DOIUrl":"https://doi.org/10.1002/fut.22566","url":null,"abstract":"<div>\u0000 \u0000 <p>In this study, we propose measures for the risk of commodity price crash. Building on the recent phenomenon of financialization of commodities, we advocate the use of down-to-up volatility (DUVOL) and a negative coefficient of skewness (NCSKEW) using 1-min and daily data, respectively. We find that the crash risk is the highest for natural gas, sugar, and coffee and remains low to moderate for most precious metals. Subsequently, we explore the commodity-specific drivers of crash risk upon controlling for macro-economic variations. We find that speculation and hedging pressure exacerbate the crash risk of most commodities, whereas basis risk alleviates the crash risk of commodities. We document that crash risk is priced in the cross-section of commodity returns. We also find that the crash risk spillovers are asymmetric, remaining low at 33% at the median and peaking at approximately 88% during the extremities.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 4","pages":"343-378"},"PeriodicalIF":1.8,"publicationDate":"2025-02-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143581743","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Exploring the Driving Forces of the Correlations Between China's Crude Oil Futures and Global and Regional Benchmarks 中国原油期货与全球和地区基准相关性的驱动力探讨
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-02-07 DOI: 10.1002/fut.22569
Min Liu, Chien-Chiang Lee
{"title":"Exploring the Driving Forces of the Correlations Between China's Crude Oil Futures and Global and Regional Benchmarks","authors":"Min Liu,&nbsp;Chien-Chiang Lee","doi":"10.1002/fut.22569","DOIUrl":"https://doi.org/10.1002/fut.22569","url":null,"abstract":"<div>\u0000 \u0000 <p>The launch of the Shanghai International Energy Exchange crude oil futures (INECOFs) is a milestone in China's path to a dominant position in the global energy market. As INECOFs attract more and more investors, understanding the long-term correlations between INECOFs and global and regional benchmarks, as well as the driving forces of these correlations, is of paramount interest to investors wishing to conduct risk management and portfolio diversification. This article makes the first attempt to explore the determinants of such correlations using the mixed-frequency approach. Our results show that INECOFs are highly correlated with the regional benchmarks and less correlated with the global benchmarks. China's crude oil imports, RMB internationalization, the RMB index, economic and trade policy uncertainty, and geopolitical risks significantly impact the dynamics of the correlations in question. China's gross industrial product and price levels cannot drive the movements of all the studied correlations.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 4","pages":"379-392"},"PeriodicalIF":1.8,"publicationDate":"2025-02-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143581744","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Drilling and DUCs in the Permian Basin 二叠纪盆地的钻井和DUCs
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-02-07 DOI: 10.1002/fut.22571
Asad Dossani, John Elder
{"title":"Drilling and DUCs in the Permian Basin","authors":"Asad Dossani,&nbsp;John Elder","doi":"10.1002/fut.22571","DOIUrl":"https://doi.org/10.1002/fut.22571","url":null,"abstract":"<div>\u0000 \u0000 <p>We use data on US onshore oil exploration to investigate the responsiveness of domestic production to oil price shocks; and the response of firm investment to uncertainty. Onshore oil exploration can be segmented into drilling wells and completing wells for production. Firms may delay their most substantial investment by drilling wells but leaving them uncompleted, creating wells which are Drilled but Uncompleted (DUCs). We analyze monthly data on well completions and DUCs to explore how firms adjust well completions in response to changes in oil prices and uncertainty about oil prices. We find that positive oil price shocks cause completed wells to increase and DUCs to decrease. We also find that uncertainty shocks induce drillers to delay their largest investment by increasing the ratio of DUCs to completions. Our results suggest that domestic producers use inventories of DUCs as a buffer to accelerate or delay well completions.</p></div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 5","pages":"395-406"},"PeriodicalIF":1.8,"publicationDate":"2025-02-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143793676","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
ChatGPT and Commodity Return ChatGPT和商品回报
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-01-27 DOI: 10.1002/fut.22568
Shen Gao, Shijie Wang, Yuanzhi Wang, Qunzi Zhang
{"title":"ChatGPT and Commodity Return","authors":"Shen Gao,&nbsp;Shijie Wang,&nbsp;Yuanzhi Wang,&nbsp;Qunzi Zhang","doi":"10.1002/fut.22568","DOIUrl":"https://doi.org/10.1002/fut.22568","url":null,"abstract":"<div>\u0000 \u0000 <p>This paper investigates the ability of a ChatGPT-based indicator to forecast excess returns of the commodity futures index. Using ChatGPT to extract information from over 2.5 million articles from nine international newspapers, we demonstrate that our constructed commodity news ratio index significantly predicts future commodity returns, both in-sample and out-of-sample. Furthermore, it outperforms traditional textual analysis methods, including Bidirectional Encoder Representations from Transformers (BERT) and Bag-of-Words (BoW), while indicating economic significance within an asset allocation framework. The results highlight the critical role of ChatGPT in forecasting commodity market dynamics and provide valuable insights for both financial market participants and researchers.</p></div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 3","pages":"161-175"},"PeriodicalIF":1.8,"publicationDate":"2025-01-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143389436","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Asymmetric Commodity Tails and Index Futures Returns 非对称商品尾部与指数期货收益
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-01-20 DOI: 10.1002/fut.22564
Yuanzhi Wang, Xinbei Wei, Qunzi Zhang
{"title":"Asymmetric Commodity Tails and Index Futures Returns","authors":"Yuanzhi Wang,&nbsp;Xinbei Wei,&nbsp;Qunzi Zhang","doi":"10.1002/fut.22564","DOIUrl":"https://doi.org/10.1002/fut.22564","url":null,"abstract":"<div>\u0000 \u0000 <p>This paper proposes that the tail risk associated with commodity futures returns performs well at predicting the S&amp;P 500 index futures returns in- and out-of-sample, even after controlling business cycles, economic factors, investor sentiment factors, other forms of tail risk factors, and macroeconomic conditions. Following Kelly and Jiang (2014), we directly estimate the commodity tail risk factor from the cross-section of commodity futures returns, which can efficiently capture the prevailing level of tail risk in the cross-sectional distribution. Our empirical analysis involves forecasting regressions, which aim to predict index futures returns using lagged up-tail risk, down-tail risk, and overall tail risk. We uncover asymmetric forecasting power between up-tail risk and down-tail risk, highlighting their distinct influences. Notably, our return decomposition analysis shows that the commodity tail risk factors primarily drive index futures returns through the discount rate channel.</p></div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 3","pages":"247-265"},"PeriodicalIF":1.8,"publicationDate":"2025-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143389446","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Volatility in Carbon Futures Amid Uncertainties: Considering Geopolitical and Economic Policy Factors 不确定性环境下碳期货的波动性：考虑地缘政治和经济政策因素
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-01-20 DOI: 10.1002/fut.22565
Xiaoqing Wang, Wenxin Jin, Baochang Xu, Kaihua Wang
{"title":"Volatility in Carbon Futures Amid Uncertainties: Considering Geopolitical and Economic Policy Factors","authors":"Xiaoqing Wang,&nbsp;Wenxin Jin,&nbsp;Baochang Xu,&nbsp;Kaihua Wang","doi":"10.1002/fut.22565","DOIUrl":"https://doi.org/10.1002/fut.22565","url":null,"abstract":"<div>\u0000 \u0000 <p>This study uses a quantile autoregressive distributed lag model to quantitatively evaluate the effects of economic policy uncertainty (EPU) and geopolitical risk (GPR) on volatility in carbon futures (carbon trading price [CTP]), considering both quantile and time asymmetries. The findings show that long-term effects of GPR on CTP are more significant than the short-term effects, contrary to EPU. Both EPU and GPR have predominantly positive long-term effects on CTP, while EPU negatively affects CTP and geopolitical factors show mixed influences in the short term. The location asymmetry reveals that the long-term impacts are most pronounced at higher quantiles, whereas the short-term effects exhibit subtle variations across different quantiles. The influences intensify during structural shifts owing to heightened events. Moreover, EPU is proven as a dominant contributor influencing the fluctuation of CTP both in the short and long terms. The findings provide targeted recommendations for policymakers to stabilize CTP and contribute towards achieving sustainable development.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 4","pages":"308-325"},"PeriodicalIF":1.8,"publicationDate":"2025-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143581956","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
USD Interest Rate Swaption Strategies During the Unconventional Monetary Policy and Pandemic Eras 非常规货币政策与大流行时期的美元利率互换策略
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-01-20 DOI: 10.1002/fut.22561
Hiroaki Shirokawa, Kohei Yamaguchi, Takahiro Obata, Ryuta Sakemoto
{"title":"USD Interest Rate Swaption Strategies During the Unconventional Monetary Policy and Pandemic Eras","authors":"Hiroaki Shirokawa,&nbsp;Kohei Yamaguchi,&nbsp;Takahiro Obata,&nbsp;Ryuta Sakemoto","doi":"10.1002/fut.22561","DOIUrl":"https://doi.org/10.1002/fut.22561","url":null,"abstract":"<div>\u0000 \u0000 <p>This study investigates the performance of USD interest rate swaption straddle strategies during the unconventional monetary policy and pandemic eras. We construct long–short portfolio swaption straddles using longer tenors and maturities than those in the previous literature. Moreover, we propose an equally weighted strategy that takes risk exposures to both volatility and jump risks. This strategy generates a higher Sharpe ratio than the delta–gamma neutral strategy during the unconventional monetary policy period. This result is weakly associated with spot swap forward rate jumps and robust, including transaction costs. We also observe that adopting longer maturity swaptions in the long position leads to higher values of risk and returns.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 3","pages":"208-223"},"PeriodicalIF":1.8,"publicationDate":"2025-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143389444","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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