共查询到20条相似文献,搜索用时 15 毫秒
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This study analyses the new market for trading volatility; VIX futures. We first use market data to establish the relationship between VIX futures prices and the index itself. We observe that VIX futures and VIX are highly correlated; the term structure of average VIX futures prices is upward sloping, whereas the term structure of VIX futures volatility is downward sloping. To establish a theoretical relationship between VIX futures and VIX, we model the instantaneous variance using a simple square root mean‐reverting process with a stochastic long‐term mean level. Using daily calibrated long‐term mean and VIX, the model gives good predictions of VIX futures prices under normal market situation. These parameter estimates could be used to price VIX options. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark 30:809–833, 2010 相似文献
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We study the difference in the volatility dynamics of CBOT corn, soybeans, and oats futures prices across different delivery horizons via a smoothed Bayesian estimator. We find that futures price volatilities in these markets are affected by inventories, time to delivery, and the crop progress period and that there are important differences in the effects across delivery horizons. We also find that price volatility is higher before the harvest starts in most cases compared to the volatility during the planting period. These results have implications for hedging, options pricing, and the setting of margin requirements. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark 30:846–873, 2010 相似文献
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曾祥顺 《中国对外贸易(英文版)》2011,(16)
创业板市场的波动性研究,对于完善我国证券市场机制、危机风险管理有着重要的意义。本文从研究对象、杠杆效应、长记忆性、模型拟合的角度描述股票市场的一些国内研究成果,即GARCH模型的发展和应用。 相似文献
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This article presents event studies that find a significant effect on dollar bond yield spreads when rating agencies put emerging-market sovereign bonds on review with negative outlook. The finding has two conditional implications. If rating agencies can be turned from late into early warning signals, they would have the potential to dampen boom-bust cycles in emerging-market flows. If rating agencies cannot improve on their reactive approach witnessed in the run-up and aftermath of recent currency crises, regulation and guidelines stipulating a certain rating status for institutional investment will continue to intensify boom-bust cycles. The paper concludes with regulatory suggestions for both outcomes. 相似文献
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This article examines the provision of liquidity in futures markets as price volatility changes. We find that customer trading costs do not increase with volatility. However, for three of the four contracts studied, the nature of liquidity supply changes with volatility. Specifically, for relatively inactive contracts, customers as a group trade more with each other and less with market makers, on higher volatility days. By contrast, for the most active contract, trading between customers and market makers increases with volatility. We also find that market makers' income per contract decreases with volatility for one of the least active contracts in our sample, but is not significantly affected by volatility for the other contracts. These results are consistent with the idea that, for high‐cost, inactive contracts, market makers react to temporary increases in volatility by raising their bid‐ask spreads significantly, and customers provide increased liquidity through standing limit orders. An implication of our results is that electronic systems, where market maker participation is not required, are able to supply adequate liquidity during volatile periods. © 2001 John Wiley & Sons, Inc. Jrl Fut Mark 21:1–17, 2001 相似文献
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Bernd Braasch 《Intereconomics》2010,45(2):96-105
Before a new financial architecture can be established in the wake of the financial crisis, the increasing importance of the
global financial market channel must be fully understood. This importance was illustrated by the unexpectedly strong dampening
effects of the financial crisis on the real economy and by the worldwide contagion of the crisis, including its spreading
to emerging market economies that were macroeconomically stable. This article argues that the financial sphere is gaining
in importance over the real sphere and that the impact of global financial determinants on economic activity is growing ever
stronger. The keys to dealing with this change are greater transparency, stronger incentive structures and a stronger regulatory
and supervisory framework. 相似文献
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There is considerable evidence that trading volume and volatility are positively related and that exchange seat prices are largely a function of trading volume. This article examines whether changes in seat prices at the Chicago Board of Trade (where stock index and interest rate futures account for the vast majority of trading volume) are useful in predicting changes in interest rate and stock market volatility. Exponential GARCH and transfer function models are used to demonstrate the power of changes in CBOT seat prices in predicting changes in interest rate and stock market volatility. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:1206–1221, 2008 相似文献
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This paper studies a large number of bitcoin (BTC) options traded on the options exchange Deribit. We use the trades to calculate implied volatility (IV) and analyze if volatility forecasts can be improved using such information. IV is less accurate than AutoRegressive–Moving-Average or Heterogeneous Auto-Regressive model forecasts in predicting short-term BTC volatility (1 day ahead), but superior in predicting long-term volatility (7, 10, 15 days ahead). Furthermore, a combination of IV and model-based forecasts provides the highest accuracy for all forecasting horizons revealing that the BTC options market contains unique information. 相似文献
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Copper futures returns are characterized by negative skewness and excess kurtosis. Research has not yet examined this nonnormality, which contributes to their volatility. To date little attention has been paid to the modeling of these series. Therefore, the purpose of this paper is to (i) detect alternating subperiods of volatility by using a method that uses an iterated cumulative sum of squares (ICSS) algorithm to identify breakpoints in the series; and (ii) compare the ability of five models (the random walk, GARCH, EGARCH, AGARCH, and the GJR model) to capture the volatility within each ICSS identified subperiod. These tests were applied to two copper futures series (open to close and close to close prices). Results indicate that the ranking (in terms of the root mean square error) is similar for both series. That is, the GARCH or EGARCH model rank first and second, depending on the series, followed by the GJR model. AGARCH and the random walk models perform poorly.© 1999 John Wiley & Sons, Inc. Jrl Fut Mark 19: 79–100, 1999 相似文献
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韩忠样 《中国对外贸易(英文版)》2011,(12)
资产评估是金融市场中专业为的中介服务项目,也是预防金融风险、维护金融市场安全稳定的重要工具,因此从这个意义上讲,资产评估具备稳定器以及去资产泡沫化的作用,可以发现金融资产的内在价值及真实性价值.本文就在阐述资产评估在维护金融市场安全中的作用着手,针对我国金融市场在本次金融危机时所面临的挑战,并提出完善我国资产评估体系建设、提高资资产评佑质量的对策. 相似文献