A No‐Arbitrage Fractional Cointegration Model for Futures and Spot Daily Ranges

The no‐arbitrage relation between futures and spot prices implies an analogous relation between futures and spot daily ranges. The long‐memory features of the range‐based volatility estimators are analyzed, and fractional cointegration is tested in a semi‐parametric framework. In particular, the no‐arbitrage condition is used to derive a long‐run relationship between volatility measures and to justify the use of a fractional vector error correction model (FVECM) to study their dynamic relationship. The out‐of‐sample forecasting superiority of FVECM, with respect to alternative models, is documented. The results highlight the importance of incorporating the long‐run equilibrium in volatilities to obtain better forecasts, given the information content in the volatility of futures prices. © 2011 Wiley Periodicals, Inc. Jrl Fut Mark 33:77–102, 2013     

中国黄金期货与现货市场的相关性及其套期保值研究

通过构建VAR-DCC-MVGARCH模型,检验2008—2011年中国黄金期货与现货市场的相关性,并分析最小化资产组合风险的最优套期保值率及其绩效,结果表明:黄金市场仅存在着现货收益率对期货收益率的单向影响;收益率的波动间具有高度正相关的时变特征;动态套期保值组合能够有效地规避黄金现货的投资风险。     

Return and Volatility Dynamics in the Spot and Futures Markets in Australia: An Intervention Analysis in a Bivariate EGARCH‐X Framework

This article provides evidence of linkages between the equity market and the index futures market in Australia, where the futures market has experienced a major structural event due to the futures contract respecification. A bivariate Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH) model is developed that includes a cointegrating residual as an explanatory variable for both the conditional mean and the conditional variance. The conditional mean returns from both markets are influenced by the long‐run equilibrium relationship, and these markets are informationally linked through the second moments. The crossmarket spillovers exhibit asymmetric behavior in that the volatility responses to past standardized innovations are different for market advances and market retreats. An intervention analysis shows that some of the parameters describing the return‐generating process have shifted after the contract respecification by the futures exchange. © 2001 John Wiley & Sons, Inc. Jrl Fut Mark 21:833–850, 2001     

Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two‐Country Dynamic Monetary Equilibrium

This paper examines a continuous‐time two‐country dynamic monetary equilibrium in which countries with possibly heterogeneous tastes and endowments hold their own money for the purpose of transaction services formulated via money in the utility function. Given a price system, no‐arbitrage pricing results are provided for the price of each money and the nominal exchange rate. Characterizations are provided for equilibrium prices for general time‐additive preferences and non‐Markovian exogenous processes. Under a Markovian structure of model primitives, the currency prices are shown to solve a bivariate system of partial differential equations. Assuming that each country is endowed with heterogeneous separable power utility and the exogenous quantities all follow geometric Brownian motions, an equilibrium is shown to exist and additional characterization is provided. A further example of nonseparable Cobb–Douglas preferences is investigated. The additional features over the customary environment of homogeneous logarithmic preferences are emphasized.     

Futures and options expiration‐day effects: The Indian evidence

This study examines the effect of expiration of options and futures on price, volatility, and volume of the underlying shares. The values of these variables 1 day prior to expiration, on the day of expiration, and 1 day subsequent to expiration are compared with those 1 and 2 weeks before and after the corresponding day with the use of the Wilcoxon matched‐pairs signed‐ranks test. The underlying share prices tend to get marginally depressed a day prior to expiration and to strengthen significantly a day after the expiration. The rate of increase of returns on the day after the expiration is abnormally high. An abnormally high volume is also observed on the expiration day; it starts building up a day prior to expiration and continues into the following day for shares with relatively high derivative volumes. These effects can be largely ascribed to arbitrage activities and the restriction on short sales in the Indian cash market. © 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25:1045–1065, 2005     

次区域合作均衡及其政策含义——一个博弈论的视角

从博弈论的视角出发,构建了次区域合作均衡的博弈模型,并结合欧盟一体化和我国参与周边次区域合作的实际情况探讨了模型设定的现实基础。在此基础上结合次区域合作博弈模型分析了其对国家参与次区域合作的政策含义,对理解现有次区域合作的发展现状和未来发展态势及其均衡均做出了阐述,而且该模型的一个优点在于对该模型稍加调整就能用来解释国家之间的同盟和一国的崛起之谜。     

Currency option pricing: Mean reversion and multi‐scale stochastic volatility

This paper investigates the valuation of currency options when the underlying currency follows a mean‐reverting lognormal process with multi‐scale stochastic volatility. A closed‐form solution is derived for the characteristic function of the log‐asset price. European options are then valued by means of the Fourier inversion formula. The proposed model enables us to calibrate simultaneously to the observed currency futures and the implied volatility surface of the currency options within a unified framework. The fractional fast Fourier transform (FFT) is adopted to implement the Fourier inversion, thus ensuring that the grid spacing restriction of the standard FFT can be relaxed, which results in a more efficient computation. Using Monte Carlo simulation as a benchmark, our numerical examples show that the derived option pricing formula is accurate and efficient for practical use. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:938–956, 2010     

A Model of Reasoned Responses: Use of the Golden Mean and Implications for Management Practice

We address three issues regarding the relationship between political party affiliation and returns in the equities markets, as measured by the NYSE Composite Index and its sub-indexes. First, we find a tendency for returns to be greater during Democratic presidential administrations; however, this result is statistically insignificant. Second, we conclude that returns during the last two years of presidential administrations are greater than during the first two years. Third, we examine the relationship between the majority party in each house of Congress and equity returns. We raise the possibility that party affiliation of Congress is a factor in explaining returns.