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41.
In this article, we investigate the pricing and convergence of general non-affine non-Gaussian GARCH-based discretely sampled variance swaps. Explicit solutions for fair strike prices under two different sampling schemes are derived using the extended Girsanov principle as the pricing kernel candidate. Following standard assumptions on time-varying GARCH parameters, we show that these quantities converge respectively to fair strikes of discretely and continuously sampled variance swaps that are constructed based on the weak diffusion limit of the underlying GARCH model. An empirical study which relies on a joint estimation using both historical returns and VIX data indicates that an asymmetric heavier tailed distribution is more appropriate for modelling the GARCH innovations. Finally, we provide several numerical exercises to support our theoretical convergence results in which we further investigate the effect of the quadratic variation approximation for the realized variance, as well as the impact of discrete versus continuous-time modelling of asset returns. 相似文献
42.
In this paper we propose semiclosed-form solutions, subject to an inversion of the Fourier transform, for the price of VIX options and target volatility options under affine GARCH models based on Gaussian and Inverse Gaussian distributions. We illustrate the advantage of the proposed analytic expressions by comparing them with those obtained from benchmark Monte–Carlo simulations. The empirical performance of the two affine GARCH models is tested using different calibration exercises based on historical returns and market quotes on VIX and SPX options. 相似文献
43.
We examine the spillovers of the US subprime crisis to Asian and European economies and in particular to what extent currency and stock markets have been affected by the crisis. Linear and nonlinear dependencies are detected after pairwise and system-wise causality analysis. A new stepwise multivariate filtering approach is implemented after controlling for conditional heteroskedasticity in the raw data and in VAR/VECM residuals using multivariate GARCH models. Significant nonlinear causal linkages persisted even after the application of GARCH-BEKK, CCC-GARCH and DCC-GARCH modelling. This indicates that volatility effects might partly induce nonlinear causality. Perhaps new short-term asset-pricing models could be developed to explain this stylized fact. These results might also have important implications for hedging, trading strategies and financial market regulation. 相似文献
44.
The study compares a multivariate with a quantile regression model to determine whether utilized airport capacity, departure and airborne delays, departure and arrival demand, and market structure explained variations in on-time gate arrivals and arrival delays. In both models, airport departure delays, arrival and departure demand explained variations in the two response variables in prioritized and non-prioritized metroplexes, holding other variables constant. After 2008, the consolidation of the airline industry through mergers coincided with the implementation of NextGen programs, which may have contributed to improvements in on-time performance, especially at prioritized metroplexes where airspace was redesigned. 相似文献
45.
This article predicts the daily movement of monthly foreign exchange (FX) rate volatility using a linear combination of a time-series model and implied volatilities from options. The focus is on analysing the FX volatilities in three developing economies (the Brazilian real (BRL), the Indian rupee (INR) and the Russian ruble (RUB)) against the US dollar (USD). The empirical exercise utilizes two time-series models, mixed data sampling (MIDAS) and GARCH. The analysis indicates that for both developed and developing economies the predictive power of MIDAS and that of GARCH is comparable. Further on in this article, we will ascertain whether the relationship between realized and implied volatility is fundamentally different in the case of developing economies from that among developed economies. Thus, we compare the pairs USD/BRL, USD/INR and USD/RUB against EURO/USD and USD/Japanese yen to determine the information content and predictive power of implied volatilities. Plots of the MIDAS coefficients show that the volatility is more persistent in developing economies than in developed economies. 相似文献
46.
Gerrit Reher 《Quantitative Finance》2016,16(3):411-426
In this paper, we establish a generalized two-regime Markov-switching GARCH model which enables us to specify complex (symmetric and asymmetric) GARCH equations that may differ considerably in their functional forms across the two Markov regimes. We show how previously proposed collapsing procedures for the Markov-switching GARCH model can be extended to estimate our general specification by means of classical maximum-likelihood methods. We estimate several variants of the generalized Markov-switching GARCH model using daily excess returns of the German stock market index DAX sampled during the last decade. Our empirical study has two major findings. First, our generalized model outperforms all nested specifications in terms of (a) statistical fit (when model selection is based on likelihood ratio tests) and (b) out-of-sample volatility forecasting performance. Second, we find significant Markov-switching structures in German stock market data, with substantially differing volatility equations across the regimes. 相似文献
47.
Farmers are those who daily supervise and manage rural areas, but still their collaborations with those institutions entitled to decide the transformation of these territories are not managed properly. The experiences of participatory processes with the involvement of farmers are analyzed in many agricultural studies. A systematic review has allowed us to analyse experiences related to 35 participation paths aimed at rural regions’ development. The analysis has been made on the basis of 14 variables describing the path followed and its purpose, the agricultural holding involved and the areas surveyed.The work has the objectives to identify some strengths and weaknesses in the involvement of farmers in decision-making and the strengths and weaknesses of the processes themselves. The review has shown that too often in participatory processes farmers are considered only as a source of information to be used by researchers rather than as active participants in the choices for the protection, management and transformation of the rural territory. An effective participatory rural appraisal requires greater empowerment of farmers. In general, compared to the methods and tools used, farmers are wary of paths that are too complex and prefer the use of low-tech tools. This result can be attributed to the farmers’ demand of direct contact with the researchers to build trust and also to the average age of European farmers, which is pretty high.In participation contexts, it is not possible to establish standardized methods and tools, because each process should be tailored for the community that expresses it. Nevertheless, the work has highlighted the need to establish some minimum principles to avoid considering unsuccessful some participation paths which, in reality, have been only scarcely participated. In the work, these principles have been presented through the development of key questions, to which those who design the path for an effective engagement of agricultural stakeholder must respond: representativeness, empowerment, empirical knowledge, relationships, group type, numerosity and involvement stage. 相似文献
48.
This paper analyzes long-term comovements between hedge fund strategies and traditional asset classes using multivariate cointegration
methodology. Since cointegrated assets are tied together over the long run, a portfolio consisting of these assets will have
lower long-term volatility. Thus, if the presence of cointegration lowers uncertainty, risk-averse investors should prefer
assets that are cointegrated. Long-term (passive) investors can benefit from the knowledge of cointegrating relationships,
while the built-in error correction mechanism allows active asset managers to anticipate short-run price movements. The empirical
results indicate there is a long-run relationship between specific hedge fund strategies and traditional financial assets.
Thus, the benefits of different hedge fund strategies are much less than suggested by correlation analysis and portfolio optimization.
However, certain strategies combined with specific stock market segments offer portfolio managers adequate diversification
potential, especially in the framework of tactical asset allocation.
相似文献
Dieter G. KaiserEmail: |
49.
This paper utilizes calculated historical volatility and GARCH models to compare the historical price volatility behavior
of crude oil, motor gasoline and heating oil in U.S. markets since 1990. We incorporate a shift variable in the GARCH/TARCH
models to capture the response of price volatility to a change in OPEC’s pricing behavior. This study has three major conclusions.
First, there was an increase in volatility as a result of a structural shift to higher crude oil prices after April 1999.
Second, volatility shocks from current news are not important since GARCH effects dominate ARCH effects in the variance equation.
Third, persistence of volatility in all commodity markets is quite transitory, with half-lives normally being a few weeks.
相似文献
Thomas K. LeeEmail: |
50.
运用GARCH类模型对沪深300指数序列的波动性、收益率进行了实证研究,并且对序列做了拟合与预测,获得了不错的效果。除此,还证实了中国股市存在着显著的非对称效应。 相似文献