Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal最新文献_第10页

A Flexible Matrix Libor Model with Smiles 带微笑的灵活矩阵Libor模型

Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal Pub Date : 2012-03-21 DOI: 10.2139/ssrn.2027034

Alessandro Gnoatto, M. Grasselli, J. D. da Fonseca

引用次数: 12

Currency Returns, Skewness and Crash Risk 货币回报、偏度和崩溃风险

Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal Pub Date : 2012-03-15 DOI: 10.2139/ssrn.2022920

B. Rafferty

{"title":"Currency Returns, Skewness and Crash Risk","authors":"B. Rafferty","doi":"10.2139/ssrn.2022920","DOIUrl":"https://doi.org/10.2139/ssrn.2022920","url":null,"abstract":"I identify a global currency skewness risk factor. Currency portfolios that have higher average excess returns co-vary more positively with this risk factor. They suffer losses in bad times for currency investors when high interest rate investment currencies have a greater tendency to depreciate sharply as a group relative to low interest rate funding currencies. Consequently, they earn higher average excess returns as reward for exposure to this risk. I create three sets of sorted currency portfolios reflecting three distinct sources of variation in average excess currency returns. The first set sorts currencies based on interest rate differentials. The second set sorts currencies based on currency momentum. The third set sorts currencies based on currency undervaluedness relative to the benchmark purchasing power parity (PPP) implied exchange rates. Within these sets of sorted currency portfolios, currencies with higher interest rates earn higher average excess returns. Secondly, currencies that are higher momentum currencies (currencies with higher recent excess returns) earn higher average excess returns. Thirdly, currencies that are more undervalued relative to the PPP implied level earn higher average excess returns. I find that differences in exposure to the global currency skewness risk factor can explain the systematic variation in average excess currency returns within all three groups of portfolios much better than existing foreign exchange risk factors in the literature.","PeriodicalId":214104,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-03-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125016450","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 67

Effects of Football on Stock Markets: Return-Volatility Relationship 足球对股票市场的影响:收益-波动关系

Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal Pub Date : 2012-03-13 DOI: 10.2139/ssrn.2020971

H. Berument, N. Ceylan

引用次数: 0

Long-Term Asset Tail Risk in Developed and Emerging Markets 发达市场和新兴市场的长期资产尾部风险

Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal Pub Date : 2012-03-12 DOI: 10.2139/ssrn.2020746

S. Straetmans, B. Candelon

{"title":"Long-Term Asset Tail Risk in Developed and Emerging Markets","authors":"S. Straetmans, B. Candelon","doi":"10.2139/ssrn.2020746","DOIUrl":"https://doi.org/10.2139/ssrn.2020746","url":null,"abstract":"The tail of financial returns is typically governed by a power law (i.e. “fat tails”). However, the constancy of the so-called tail index α which dictates the tail decay has been hardly investigated. We study the finite sample properties of some recently proposed endogenous tests for structural change in α. Given that the finite sample critical values strongly depend on the tail parameters of the return distribution we propose a bootstrap-based version of the structural change test. Our empirical application spans a wide variety of long-term developed and emerging financial asset returns. Somewhat surprisingly, the tail behavior of emerging stock markets is not more strongly inclined to structural change than their developed counterparts. Emerging currencies, on the contrary, are more prone to shifts in the tail behavior than developed currencies. Our results suggest that extreme value theory (EVT) applications in hedging tail risks or in assessing the (changing) propensity to financial crises can assume stationary tail behavior over long time spans provided one considers portfolios that solely consist of stocks or bonds. However, our break results also indicate it is advisable to use shorter estimation windows when applying EVT methods to emerging currency portfolios.","PeriodicalId":214104,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal","volume":"32 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-03-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126385893","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 4

An Application of GARCH Models in Detecting Systematic Bias in Options Pricing and Determining Arbitrage in Options GARCH模型在期权定价系统偏差检测和期权套利确定中的应用

Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal Pub Date : 2012-03-08 DOI: 10.7835/JCC-BERJ-2012-0069

M. Dash, Jay H. Dagha, P. Sharma, Rashmi Singhal

{"title":"An Application of GARCH Models in Detecting Systematic Bias in Options Pricing and Determining Arbitrage in Options","authors":"M. Dash, Jay H. Dagha, P. Sharma, Rashmi Singhal","doi":"10.7835/JCC-BERJ-2012-0069","DOIUrl":"https://doi.org/10.7835/JCC-BERJ-2012-0069","url":null,"abstract":"Derivatives have become widely accepted as tools for hedging and risk-management, as well as speculation to some extent. A more recent trend has been gaining ground, namely, arbitrage in derivatives. The critical parameter in derivatives pricing is the volatility of the underlying asset. Exchanges often overestimate volatility in order to cover any sudden changes in market behavior, leading to systematic overpricing of derivatives. Accurate forecasting of volatility would expose systematic overpricing. Unfortunately, volatility is not an easy phenomenon to predict or forecast. One class of models that have proved successful in forecasting volatility in many situations is the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) family of models. The objective of the present study is to analyze systematic bias in the pricing of options derivatives. In order to perform the analysis, data were collected for a sample of stock options traded on the National Stock Exchange (NSE) of India and their underlying stocks. In the study, GARCH models are used to forecast underlying stock volatility, and the forecasted volatility is used in the Black-Scholes model in order to determine whether the corresponding options were fairly priced. Any systematic bias in options pricing would provide evidence for arbitrage opportunities.","PeriodicalId":214104,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-03-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116412316","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 4

Are REITs Real Estate? Evidence from International Sector Level Data REITs是房地产吗?来自国际部门层面数据的证据

Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal Pub Date : 2012-03-01 DOI: 10.2139/ssrn.2034377

Martin Hoesli, Elias Oikarinen

{"title":"Are REITs Real Estate? Evidence from International Sector Level Data","authors":"Martin Hoesli, Elias Oikarinen","doi":"10.2139/ssrn.2034377","DOIUrl":"https://doi.org/10.2139/ssrn.2034377","url":null,"abstract":"The aim of this study is to examine whether securitized real estate returns reflect direct real estate returns or general stock market returns using international data for the U.S., U.K., and Australia. In contrast to previous research, which has generally relied on overall real estate market indices and neglected the potential long-term dynamics, our econometric evaluation is based on sector level data and caters for both the short-term and long-term dynamics of the assets as well as for the lack of leverage in the direct real estate indices. In addition to the real estate and stock market indices, the analysis includes a number of fundamental variables that are expected to influence real estate and stock returns significantly. We estimate vector error-correction models and investigate the forecast error variance decompositions and impulse responses of the assets. Both the variance decompositions and impulse responses suggest that the long-run REIT market performance is much more closely related to the direct real estate market than to the general stock market. Consequently, REITs and direct real estate should be relatively good substitutes in a long-horizon investment portfolio. The results are of relevance regarding the relationship between public and private markets in general, as the ‘duality’ of the real estate markets offers an opportunity to test whether and how closely securitized asset returns reflect the performance of underlying private assets. The study also includes implications concerning the recent financial crisis.","PeriodicalId":214104,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal","volume":"20 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132954534","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 189

Efficient and Feasible Inference for the Components of Financial Variation Using Blocked Multipower Variation 基于分块多功率变分的财务变化成分的有效可行推断

Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal Pub Date : 2012-02-21 DOI: 10.2139/ssrn.2008690

P. Mykland, N. Shephard, Kevin Sheppard

引用次数: 25

Symmetry Methods for the Quadratic Gaussian Libor Model 二次高斯Libor模型的对称方法

Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal Pub Date : 2012-02-19 DOI: 10.2139/ssrn.2007823

P. Mccloud

引用次数: 3

Does the Institutionalization of Derivatives Trading Spur Economic Growth? 衍生品交易的制度化是否刺激了经济增长?

Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal Pub Date : 2012-02-15 DOI: 10.2139/ssrn.2014805

Paulo Rodrigues, C. Schwarz, Norman J. Seeger

{"title":"Does the Institutionalization of Derivatives Trading Spur Economic Growth?","authors":"Paulo Rodrigues, C. Schwarz, Norman J. Seeger","doi":"10.2139/ssrn.2014805","DOIUrl":"https://doi.org/10.2139/ssrn.2014805","url":null,"abstract":"It is a widespread view that derivatives played a crucial role during the recent financial and economic crisis. This opinion manifested in headlines such as “Why Derivatives Caused Financial Crisis” and derivatives have been termed “Financial Weapons of Mass Destruction”. However, the analysis of the role of derivatives in the economy requires a much more differentiated discussion as the statements given above imply. In this paper we analyze the effect of institutionalization of derivatives trading on economic growth and economic growth volatility; measuring growth in GDP per capita. The relationship between the institutionalization of derivatives trading and economic growth is investigated by using a panel data set comprising of 45 countries observed over 39 years. Our results show a statistically and economically significant positive effect of the establishment and existence of a domestic derivatives exchange on economic growth. These results are robust to different model specifications and to controlling for financial reforms. The effect of institutionalized derivatives trading on growth volatility is analyzed by means of an EGARCH model and is found to be negative and significant.","PeriodicalId":214104,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-02-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129797800","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 11

International Market Links and Volatility Transmission 国际市场联系和波动传导

Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal Pub Date : 2012-02-14 DOI: 10.2139/ssrn.2005006

V. Corradi, W. Distaso, Marcelo Fernandes

引用次数: 33