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Dynamic futures‐hedging ratios are estimated across seven markets using generalized models of the variance/covariance structure. The hedging performances of the resultant dynamic strategies are then compared with static and naïve strategies, both in‐ and out‐of‐sample. Bayesian‐adjusted hedge ratios also are employed as error purgers. The empirical results indicate that the generalized dynamic models are well specified and that their use in determining optimal hedge ratios can lead to improvements in hedging performance as measured by the volatilities of the returns on the optimally hedged position. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:241–260, 2003 相似文献
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Michael Theobald Peter Yallup 《Journal of International Financial Markets, Institutions & Money》2005,15(5):407-424
Intradaily volatility is related to the speed of adjustment of prices towards their intrinsic values. The decomposition of volatility into intrinsic and noise related components is demonstrated to be impacted by speeds of adjustment. Intradaily speeds of adjustment are estimated for U.K. index data and some empirical evidence of overreaction at the open and underreaction at the close of the trading day found for the FTSE100 index. The major result that we report in this paper is that differential intradaily volatilities at the index level are related to differential speeds of adjustment, thus providing insights into the similar results reported in U.S. index studies, such as [Gerety, M., Mulherin, J., 1994. Price formation on stock exchanges: the evolution of trading within the day. The Review of Financial Studies 7, 609–629]. 相似文献
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Michael Theobald 《Journal of Business Finance & Accounting》1982,9(4):563-564
It is argued that Schnabel's econometric point, while correct, has no impact upon the theoretical objectives of the original paper and that the model developed there is still empirically plausible. 相似文献
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Regime-switching volatility of six East Asian emerging markets 总被引:1,自引:0,他引:1
This paper investigates regime-switching behaviour in the return-generating processes of six East Asian emerging stock markets over the period from 1970 to 2004 and examines the specific characteristics of each regime by utilizing Markov-switching variance models. The results show very strong evidence of more than one regime in each of these stock markets. In addition, the conditional probabilities of each regime derived from the model provide mixed evidence regarding the impact of financial liberalization on return volatility. 相似文献
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An analytical relationship between basis change autocorrelations and thin trading effects together with partial adjustment factors is developed. Less than full price adjustments are demonstrated to lead to negative autocorrelations in basis innovation series in addition to those induced by thin trading effects. Numerical and empirical analyses explore the interrelationships between these effects and provide evidence for the presence of both effects in intradaily cash and futures data. © 2001 John Wiley & Sons, Inc. Jrl Fut Mark 21: 797–818, 2001 相似文献
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