共查询到20条相似文献,搜索用时 9 毫秒
1.
We investigate the variance risk premium (VRP) and implied correlation (IC) at the industry level. Using the index and sector exchange-traded fund options, we construct-sector VRPs and cross-sector IC measures. Sector VRPs predict sector returns, and adding the average sector VRP with IC improves predictability. Combining the average sector VRP and IC outperforms the market VRP in predicting market returns both in-sample and out-of-sample and generates sizeable economic values. We document a strong spillover effect from sector VRPs to the market VRP. The average sector VRP and cross-sector IC contain information beyond the market VRP and cross-stock IC. 相似文献
2.
Using an extended LHARG model proposed by Majewski et al. (2015, J Econ, 187, 521–531), we derive the closed-form pricing formulas for both the Chicago Board Options Exchange VIX term structure and VIX futures with different maturities. Our empirical results suggest that the quarterly and yearly components of lagged realized volatility should be added into the model to capture the long-term volatility dynamics. By using the realized volatility based on high-frequency data, the proposed model provides superior pricing performance compared with the classic Heston–Nandi GARCH model under a variance-dependent pricing kernel, both in-sample and out-of-sample. The improvement is more pronounced during high volatility periods. 相似文献
3.
This study uses multiple maturity-independent variables to examine whether the volatility information implied in the term structure of volatility index can improve the prediction of realized volatility. The empirical results for the S&P 500 index show that, in terms of both the in-sample estimation and out-of-sample forecasting, the term structure variables provide substantial incremental contribution to the models with only level variables. Our empirical results are robust to various forms of volatility, alternative ways to develop the term structure variable, the impact of macroeconomic variables, and alternative underlying assets. 相似文献
4.
This paper investigates the effects of oil price risk on systematic risk using the transportation service industries as samples across eight representative nations. The researchers estimate the systematic risk by the use of time-varying models including the Schwert and Seguin model, the Multi-GARCH model and the Kalman filter algorithm as well as the market model. The empirical results show that the Kalman filter algorithm appears to be the superior model for capturing systematic risk in the transportation industry. The betas of the marine industry decrease as it suffers from oil price risk, while the airline industry sees the reverse. Therefore, the influence of oil price risk is more critical for the airline industry. 相似文献
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6.
Xingchun Wang 《期货市场杂志》2020,40(3):410-429
In this paper, we consider Asian options with counterparty risk under stochastic volatility models. We propose a simple way to construct stochastic volatility models through the market factor channel. In the proposed framework, we obtain an explicit pricing formula of Asian options with counterparty risk and illustrate the effects of systematic risk on Asian option prices. Specially, the U-shaped and inverted U-shaped curves appear when we keep the total risk of the underlying asset and the issuer's assets unchanged, respectively. 相似文献
7.
We decompose the VIX futures term structure into systematic components driving the VIX and idiosyncratic components reflecting demand by various types of futures end-users. We model two distinct channels by which trading activity manifests itself into futures prices: a contemporaneous “level effect” across the term structure due to the aggregate size of nondealer net demand and a mean-reverting “roll effect” due to large trades in specific contracts. The observed futures term structure was, on average, higher and steeper than it would have been in the absence of the observed nondealer demand, but the impact varies in sign and magnitude over time. 相似文献
8.
Credit default swaps (CDS) have been used to speculate on the default risk of the reference entity. The risk of CDS can be measured by their second moments. We apply a Glosten, Jagannathan, and Runkle (GJR)-t model for the conditional variance and a Dynamic Conditional Correlation (DCC)-t model for the conditional correlation. Based on the CDS of six large US banks from 2002 to 2018, we find that CDS conditional variance is asymmetric and leptokurtic. A positive innovation actually increases CDS conditional variance more than a negative innovation does. CDS conditional correlations have stayed elevated since the financial crisis, in contrast to the decreasing stock conditional correlations. 相似文献
9.
Over the last decade, dividends have become a standalone asset class instead of a mere side product of an equity investment. We introduce a framework based on polynomial jump‐diffusions to jointly price the term structures of dividends and interest rates. Prices for dividend futures, bonds, and the dividend paying stock are given in closed form. We present an efficient moment based approximation method for option pricing. In a calibration exercise we show that a parsimonious model specification has a good fit with Euribor interest rate swaps and swaptions, Euro Stoxx 50 Index dividend futures and dividend options, and Euro Stoxx 50 Index options. 相似文献
10.
盛永志 《商业经济(哈尔滨)》2010,(2):78-79,110
依据商业银行操作风险基本理论,通过设立假设条件,对哈尔滨市x、Y两家商业银行机构近三年操作风险事件情况进行调查研究,从中得到的启示和结论是,商业银行内部控制与操作风险高度呈正相关;操作风险事件中的绝大多数能够从内控薄弱中寻到根据;抓住操作风险管理的“牛鼻子”是加强内部控制建设的关键,加强内部控制在操作风险管理进程中永无止境。 相似文献
11.
Jan de Kort 《Mathematical Finance》2018,28(2):656-667
In this paper, we consider factor models of the term structure based on a Brownian filtration. We show that the existence of a nondeterministic long rate in a factor model of the term structure implies, as a consequence of the Dybvig–Ingersoll–Ross theorem, that the model has an equivalent representation in which one of the state variables is nondecreasing. For two‐dimensional factor models, we prove moreover that if the long rate is nondeterministic, the yield curve flattens out, and the factor process is asymptotically nondeterministic, then the term structure is unbounded. Finally, we provide an explicit example of a three‐dimensional affine factor model with a nondeterministic yet finite long rate in which the volatility of the factor process does not vanish over time. 相似文献
12.
We extract variance and skew risk premiums from volatility derivatives in a model-free way and analyze their relationships along with volatility index and equity index returns. These risk premiums can be synthesized through option trading strategies. Using a time series of option prices on the VIX, we find that variance swap excess return can be partially explained by volatility index and equity index excess returns while these latter variables carry little information for the skew swap excess return. The results sharply contrast with those obtained for the equity index option market underlining very specific characteristics of the volatility derivative market. 相似文献
13.
A cattle feedlot marketing simulation model was developed and used to evaluate the performance of various feedlot marketing strategies. The marketing analysis included corn, feeder cattle, and fed cattle integrated marketing alternatives. A variety of strategies were compared including hedging and put option purchasing as signaled via profit margins or price forecasts. The results indicate that cattle feeders could have historically increased profitability and decreased the variability of profits through selective marketing by using either profit margins or price forecasts to signal market positions as compared to cash marketing strategies. In addition, several strategies were found that stochastically dominated cash marketing. 相似文献
14.
Dev R. Mishra 《International Review of Finance》2023,23(3):615-644
I find a strong positive association between firms' implied cost of equity capital and firm-level political risk. This effect is above and beyond the firm-level cost of equity implications of economywide political risk. Firm-level political risk contributes to elevating stock illiquidity, increases dispersion of analyst forecasts and dampens analyst coverage and these attributes, in turn, have positive cost of equity capital implications. Overall, the findings of this study suggest firm-level political risk has a non-trivial effect on increasing equity market illiquidity, increasing dispersion of earnings forecasts and decreasing analyst coverage thus increasing financing costs. 相似文献
15.
《International Business Review》2016,25(6):1297-1308
External sourcing from foreign suppliers is an important aspect of the firm’s internationalization. However, data on such sourcing is available from neither databases nor annual reports. Thus, the corporate risk implications of such sourcing have not been studied previously. We obtain the necessary data by surveying Scandinavian non-financial firms. We find that highly international firms reduce corporate risk by externally sourcing from foreign suppliers both compared to sourcing from own production facilities abroad (due to superior flexibility) and compared to domestic sourcing (due to off-setting cash flows). Our results are statistically significant, are economically meaningful, and have important policy implications. 相似文献
16.
Mohammad Isleimeyyeh 《期货市场杂志》2020,40(9):1375-1397
I develop and test a model to study the interaction between the commodity and stock markets. This study attempts to clarify the debate about the effect of financialization on commodity markets. Theoretically, the futures risk premium is determined by hedging pressure, stock market returns, and the commodity–equity correlation. Empirically, the effect of the stock market on the energy market became significantly greater for the futures risk premium in the period following the 2008 crisis. Furthermore, hedging pressure is a strong explanatory variable for the futures risk premium in various circumstances. 相似文献
17.
Richard H. Clarida Lucio Sarno Mark P. Taylor Giorgio Valente 《Journal of International Economics》2003,60(1):61-83
A large literature suggests that standard exchange rate models cannot outperform a random walk forecast and that the forward rate is not an optimal predictor of the spot rate. However, there is evidence that the term structure of forward premia contains valuable information for forecasting future spot exchange rates and that exchange rate dynamics display nonlinearities. This paper proposes a term-structure forecasting model of exchange rates based on a regime-switching vector equilibrium correction model which is novel in this context. Our model significantly outperforms both a random walk and, to a lesser extent, a linear term-structure vector equilibrium correction model for four major dollar rates across a range of horizons. 相似文献
18.
We introduce the intensity-based defaultable Lévy term structure model. It generalizes the default-free Lévy term structure model by Eberlein and Raible, and the intensity-based defaultable Heath-Jarrow-Morton approach of Bielecki and Rutkowski. Furthermore, we include the concept of multiple defaults, based on Schönbucher, within this generalization. 相似文献
19.
The social media has become an integral part of the marketing strategy. Marketing activities are now more inclined to online social networks (OSNs) than ever before in the history of the business. More and more consumers are joining OSNs for the sake of fun, socialization, and online buying. Every user perceives some degree of risk while joining and using OSNs. The current systematic literature review gathers and synthesizes research records of the last 9 years (2010–18) on consumer perceived risks concerning OSNs. We used PRISMA as a protocol to conduct this systematic literature review. The synthesis provides a detailed account of the perceived risk factors, their antecedents and consequences, risk-reducing strategies, and future research potential in the said domain. 相似文献
20.
2003年6月底中央政府与香港特别行政区政府签署了《内地与香港关于建立更加紧密经济关系的安排》后,两地在金融领域的合作不断加快。在目前已呈现出短期效应基础上,对可能产生的中长期效应要进行合理地预测。 相似文献