Time-varying Volatility in Canadian and U.S. Stock Index and Index Futures Markets: a Multivariate Analysis PDF Download
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Author: Marie D. Racine
Publisher:
ISBN:
Category : Financial futures
Languages : en
Pages : 36
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Book Description
Author: Lucy F. Ackert
Publisher:
ISBN:
Category :
Languages : en
Pages : 24
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Book Description
We use a multivariate generalized autoregressive heteroskedasticity model (M-GARCH) to examine three stock indexes and their associated futures prices: the New York Stock Exchange Composite, Standard and Poor's 500, and Toronto 35. The North American context is significant because markets in Canada and the United States share similar structures and regulatory environments. Our model allows examination of dependence in volatility as it captures time variation in volatility and cross-market influences. Estimated time-variation in volatility is significant, and the volatilities are highly positively correlated. Yet, we find that the correlation in North American index and futures market has declined over time.
Author: Marie D. Racine
Publisher:
ISBN:
Category : Financial futures
Languages : en
Pages : 36
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Book Description
Author: Lucy F. Ackert
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
A multivariate generalized autoregressive heteroskedasticity model (M-GARCH) is used to examine three stock indexes and their associated futures prices: the New York Stock Exchange Composite, Standard and Poor's 500, and Toronto 35. The model allows examination of dependence in volatility as it captures time variation in volatility and cross-market influences. The estimated time-variation in volatility is significant and the volatilities are highly positively correlated. New evidence concerning day-of-the-week and holiday effects on price movements and volatility is reported. Finally, the paper reports diagnostic tests and model selection criteria for M-GARCH processes.
Author: Huseyin Gulen
Publisher:
ISBN:
Category :
Languages : en
Pages : 50
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Book Description
Author: Charles M.S. Sutcliffe
Publisher: Routledge
ISBN: 1351148559
Category : Business & Economics
Languages : en
Pages : 534
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Book Description
The global value of trading in index futures is about $20 trillion per year and rising and for many countries the value traded is similar to that traded on their stock markets. This book describes how index futures markets work and clearly summarises the substantial body of international empirical evidence relating to these markets. Using the concepts and tools of finance, the book also provides a comprehensive description of the economic forces that underlie trading in index futures. Stock Index Futures 3/e contains many teaching and learning aids including numerous examples, a glossary, essay questions, comprehensive references, and a detailed subject index. Written primarily for advanced undergraduate and postgraduate students, this text will also be useful to researchers and market participants who want to gain a better understanding of these markets.
Author: Robert A. Jarrow
Publisher:
ISBN:
Category : Derivative securities
Languages : en
Pages : 472
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Book Description
Written by a number of authors, this text is aimed at market practitioners and applies the latest stochastic volatility research findings to the analysis of stock prices. It includes commentary and analysis based on real-life situations.
Author: George H. K. Wang
Publisher:
ISBN:
Category : Futures market
Languages : en
Pages : 66
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Book Description
Author: John Merrick
Publisher:
ISBN:
Category : Arbitrage
Languages : en
Pages : 35
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Book Description
Author: Pavel Teterin
Publisher:
ISBN:
Category : Electronic dissertations
Languages : en
Pages : 162
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Book Description
This dissertation includes three essays on volatility and information content of futures markets. This work gives new insight into the structural changes in volatility, the information content of global interest rate futures, and the time-series behavior of the volatility term structure. The first essay examines structural volatility shifts U.S. crude oil and corn futures markets. In trying to capture the interrelations present in the two markets, we take seriously the importance of properly modelling smooth structural shifts. We incorporate trigonometric functions into a multivariate GARCH model of crude and corn futures prices to obtain the empirical volatility response functions and the time-varying correlation coefficient. Although both short-term and long-term futures exhibit shifts in the mean and volatility, volatility shifts do not manifest themselves in the same manner for different maturities. In the second essay, we investigate the term structure of interest rate futures in the US, Eurozone, United Kingdom, and Switzerland and empirically document five unique results. First, implied USD futures rates contain significantly different information compared to USD spot rates. Second, the four interest rate futures contracts contain similar information that is driven by one common component. Third, implied futures rates contain more information regarding future rate changes than return premiums. Fourth, information shifts are associated with macroeconomic conditions and central bank policies. Finally, significant information shifts occurred during the 2013-2015 time frame, which were greater than those of the great recessionary period of 2008-2009. The third essay focuses on the Samuelson hypothesis, a proposition that futures volatility declines with maturity. We study the strength of the Samuelson effect over time in ten most actively traded U.S. commodity futures. Capturing the dynamics of the futures volatility term structure with three factors, we show that in most markets the slope factor is strongly negative in certain periods and only weakly or not at all negative in other periods. Consistent with the linkage between carry arbitrage and the Samuelson hypothesis, we find that high inventory levels correspond to a flatter volatility term structure. We also find that a flatter volatility term structure corresponds to lower absolute futures term premiums.
Author: M. Costantino
Publisher: WIT Press
ISBN: 1845641744
Category : Business & Economics
Languages : en
Pages : 449
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Book Description
Featuring papers from the Second International Conference on Computational Finance and its Applications, the text includes papers that encompass a wide range of topics such as risk management, derivatives pricing, credit risk, trading strategies, portfolio management and asset allocation, and market analysis.
