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Commodity Price Dynamics and Derivatives Valuation: A Review 商品价格动态与衍生品估值:综述
Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal Pub Date : 2012-08-21 DOI: 10.2139/ssrn.2133158
Janis Back, Marcel Prokopczuk
{"title":"Commodity Price Dynamics and Derivatives Valuation: A Review","authors":"Janis Back, Marcel Prokopczuk","doi":"10.2139/ssrn.2133158","DOIUrl":"https://doi.org/10.2139/ssrn.2133158","url":null,"abstract":"This paper reviews extant research on commodity price dynamics and commodity derivative pricing models. In the first half, we provide an overview of key characteristics of commodity price behavior that have been explored and documented in the theoretical and empirical literature. In the second half, we review existing derivative pricing models and discuss how the peculiarities of commodity markets have been integrated in these models. We conclude the paper with a brief outlook on various important research questions that need to be addressed in the future.","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":"2012-08-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129467504","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
An Alternative Nonparametric Specification Test in Autoregressive Conditional Duration Models 自回归条件持续时间模型中的一种可选非参数说明检验
Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal Pub Date : 2012-08-16 DOI: 10.2139/ssrn.2130454
Patrick W. Saart, Jiti Gao
{"title":"An Alternative Nonparametric Specification Test in Autoregressive Conditional Duration Models","authors":"Patrick W. Saart, Jiti Gao","doi":"10.2139/ssrn.2130454","DOIUrl":"https://doi.org/10.2139/ssrn.2130454","url":null,"abstract":"This paper introduces an alternative testing procedure to test the distribution of the error term in the Autoregressive Conditional Duration (ACD) class of models. In these models, the error term is normally interpreted as the standardized duration by which its probability distribution may have an important impact on the shape of the conditional intensity process of the financial duration in question.This paper illustrates that the testing procedure developed is applicable to various ACD types of models in the literature. Furthermore, when applied to parametric models, such as the Exponential ACD (EACD) and the weibull ACD (WACD), the test can be used as a diagnostic test of the accuracy of the required distributional assumption. Moreover, the hypothetical structure of the test is useful to the specification testing of a number of financial market microstructure hypotheses, especially those related to the information asymmetry in finance. Finally, the testing procedure introduced in this paper differs in many ways from those discussed in existing literatures. This paper shows theoretically and experimentally the statistical validity of the testing procedure, while demonstrating its usefulness and practicality using datasets from New York and Australia Stock Exchange.","PeriodicalId":214104,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal","volume":"101 2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-08-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131039721","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: 1
Effect of Decimalization on Market Equilibrium and Price Discovery 十进制对市场均衡和价格发现的影响
Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal Pub Date : 2012-08-15 DOI: 10.2139/ssrn.2129861
Surya Chelikani
{"title":"Effect of Decimalization on Market Equilibrium and Price Discovery","authors":"Surya Chelikani","doi":"10.2139/ssrn.2129861","DOIUrl":"https://doi.org/10.2139/ssrn.2129861","url":null,"abstract":"Recent crises have focused interest on methods to improve the functioning of financial markets. In this context it would be prudent to evaluate the effects of previous changes. Previous research on decimalization of tick size, a significant microstructure change, mostly examines its effects on spreads etc. This paper studies the effect of decimalization on the dynamics of market equilibrium in fragmented markets, when a single or identical assets are traded in several markets. Using cointegration analysis this study finds that when a price innovation enters one market, the time taken for new equilibrium to be reached by other markets is significantly longer after decimalization. This finding is important in the context of the current market environment of Direct Market Access (DMA). When markets are in disequilibrium even for a few additional micro seconds, high frequency trading algorithms can provide a trading advantage, and create new arbitrage opportunities.","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":"2012-08-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114969637","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: 0
Does the Stock Market Expect Upcoming Merger Activity? 股票市场期待即将到来的并购活动吗?
Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal Pub Date : 2012-08-14 DOI: 10.2139/ssrn.2129029
Ulugbek Saidiev
{"title":"Does the Stock Market Expect Upcoming Merger Activity?","authors":"Ulugbek Saidiev","doi":"10.2139/ssrn.2129029","DOIUrl":"https://doi.org/10.2139/ssrn.2129029","url":null,"abstract":"The study introduces empirical evidence that there are statistically significant relationships between intensity of upcoming aggregate merger activity and the present values of the factors HML and SMB in the Fama-French three-factor model of assets pricing.","PeriodicalId":214104,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal","volume":"52 17","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-08-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"120819307","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: 0
What Does the Corporate Bond Market Know? 公司债券市场知道什么?
Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal Pub Date : 2012-08-10 DOI: 10.2139/ssrn.2127831
G. Bittlingmayer, S. Moser
{"title":"What Does the Corporate Bond Market Know?","authors":"G. Bittlingmayer, S. Moser","doi":"10.2139/ssrn.2127831","DOIUrl":"https://doi.org/10.2139/ssrn.2127831","url":null,"abstract":"Do related markets reflect new information simultaneously? For high-yield bonds, a large abnormal price decline in a corporation's most liquid bond over a month is followed by an average abnormal stock price decline of −1.42%. This effect is larger for stocks that have increased in value and for volatile stocks. It is also larger for bonds with high coupons and shorter maturities. These results support the view that high-yield corporate bonds have an informational edge when news is negative and stock returns are noisy, and add to the growing literature on the substantial lags in price discovery between related markets.","PeriodicalId":214104,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal","volume":"31 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-08-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133553401","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: 37
A Comparison of the Beer and Penn Effect Models via Their Applications in the Renminbi Valuation Beer和Penn效应模型在人民币估值中的应用比较
Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal Pub Date : 2012-08-06 DOI: 10.2139/ssrn.2124852
Zhibai Zhang
{"title":"A Comparison of the Beer and Penn Effect Models via Their Applications in the Renminbi Valuation","authors":"Zhibai Zhang","doi":"10.2139/ssrn.2124852","DOIUrl":"https://doi.org/10.2139/ssrn.2124852","url":null,"abstract":"The behavioral equilibrium exchange rate (BEER) and the Penn effect models are compared via their applications on the valuation of the Renminbi (RMB). Considering the two models’ bases and applications, I conclude that, in time-series and cross-section data settings, the Penn effect model is the more reasonable or more robust model for currency valuation. In a panel data setting, the Penn effect model can be viewed as a special form of the BEER model; however, the latter includes many other forms that are different from the former. The criteria and methods of compari ng different model findings are given and used to compare typical misalignment results on RMB derived from the two models. According to the misalignment classification comparison, each model’s findings from the BEER model are only partly reasonable but each model’s findings from the Penn effect model are wholly reasonable. Thus, the latter is more reasonable than the former.","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":"2012-08-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125558027","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: 1
Efficient Estimation of Some Elliptical Copula Regression Models through Scale Mixtures of Normal 用正态尺度混合估计椭圆Copula回归模型
Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal Pub Date : 2012-08-06 DOI: 10.2139/ssrn.2125587
N. Wichitaksorn, R. Gerlach, Boris Choy
{"title":"Efficient Estimation of Some Elliptical Copula Regression Models through Scale Mixtures of Normal","authors":"N. Wichitaksorn, R. Gerlach, Boris Choy","doi":"10.2139/ssrn.2125587","DOIUrl":"https://doi.org/10.2139/ssrn.2125587","url":null,"abstract":"We simplify the implementation of some elliptical copula regression models through the normal representation. Both copula and marginal probability density functions are expressed as the scale mixtures of normals to facilitate the estimation procedure. With the fact that all elliptical distributions have the same correlation structure and some of them can be expressed as a scale mixture of multivariate normal, we can then estimate their correlation matrix with ease. Two simulation studies are illustrated to assess the performance of our proposed models and methods. We also conduct two empirical studies on U.S. excess return and Thai wage earnings to show the applicability to the multivariate Capital Asset Pricing Model and the bivariate seemingly unrelated Tobit model, respectively.","PeriodicalId":214104,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal","volume":"31 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-08-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124841116","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: 0
Comparing First, Second and Third Generation Commodity Indices 比较一、二、三代商品指数
Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal Pub Date : 2012-07-31 DOI: 10.2139/ssrn.2132949
J. Miffre
{"title":"Comparing First, Second and Third Generation Commodity Indices","authors":"J. Miffre","doi":"10.2139/ssrn.2132949","DOIUrl":"https://doi.org/10.2139/ssrn.2132949","url":null,"abstract":"The rising interest of institutional investors for commodities since the early 2000s prompted remarkable financial engineering in the commodity index space which is now in its third generation. The purpose of this article is to review this evolution and to give an assessment of index performance. Long-only second generation indices, which attempt to minimize the harmful impact of contango on performance and use active long-only signals based on momentum or roll-yields, are found to outperform their first generation counterparts. Third generation indices fare even better as they accurately buy backwardated assets and short contangoed ones, thereby reducing overall volatility. We see these indices as serious contenders to commodity trading advisors that merely replicate strategies based on momentum or term structure.","PeriodicalId":214104,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal","volume":"76 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-07-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129981441","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: 20
Energy Price Transmissions during Extreme Movements 极端运动期间的能源价格传输
Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal Pub Date : 2012-07-27 DOI: 10.2139/ssrn.2162221
Marc Joets
{"title":"Energy Price Transmissions during Extreme Movements","authors":"Marc Joets","doi":"10.2139/ssrn.2162221","DOIUrl":"https://doi.org/10.2139/ssrn.2162221","url":null,"abstract":"This paper investigates price transmissions across European energy forward markets at distinct maturities during both normal times and extreme fluctuation periods. To this end, we rely on the traditional Granger causality test (in mean) and its multivariate extension in tail distribution developped by Candelon, Joëts, and Tokpavi (2012). Considering forward energy prices at 1, 10, 20, and 30 months, it turns out that no significant causality exists between markets at regular times whereas comovements are at play during extreme periods especially in bear markets. More precisely, energy prices comovements appear to be stronger at short horizons than at long horizons, testifying an eventual Samuelson mechanism in the maturity prices curve. Diversi…cation strategies tend to be more efficient as maturity increases.","PeriodicalId":214104,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal","volume":"325 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-07-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122641728","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: 16
Growth Investing: Betting on the Future? 成长型投资:押注未来?
Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal Pub Date : 2012-07-27 DOI: 10.2139/ssrn.2118966
A. Damodaran
{"title":"Growth Investing: Betting on the Future?","authors":"A. Damodaran","doi":"10.2139/ssrn.2118966","DOIUrl":"https://doi.org/10.2139/ssrn.2118966","url":null,"abstract":"The academic research is incontrovertible. On paper, value investing (at least as defined as investing in low PE and low price to book stocks) beats growth investing. Notwithstanding this finding, growth investing retains its allure with a large subset of investors, drawn by the payoff from investing in the “right’ growth companies. In this paper, we examine different strands of growth investing, ranging from passive screening (investing in small cap companies, initial public offerings or buying growth at a reasonable price (GARP)), to more activist growth investing, which is how we characterize venture capital investing. While growth investing under performs value investing, especially over long time periods, it is also true that there are sub-periods, where growth investing dominates and there is at least some evidence that active growth investors have better luck at beating passive growth investing strategies than active value investors do at beating passive value investing strategies.","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":"2012-07-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130721831","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: 3
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