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Author: Chenyang Feng
Publisher:
ISBN:
Category : Stocks
Languages : en
Pages : 20
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Book Description
Author: Chenyang Feng
Publisher:
ISBN:
Category : Stocks
Languages : en
Pages : 20
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Book Description
Author: Bong-Chan Kho
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
This paper re-examines the efficiency of foreign currency futures markets by evaluating the role of time-varying risk premia and volatility in explaining technical trading rule profits. The results show that large parts of the technical rule profits can be explained by the time-varying risk premia estimated from a general model for the conditional CAPM: The bootstrap distributions for the profits under the null model average one-third to one-half of the actual profits and enclose the actual profits well within the 90% confidence intervals. Time-varying conditional volatility explains an additional 10% of the profits.
Author: Bong-Chan Kho
Publisher:
ISBN:
Category :
Languages : en
Pages : 320
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Author: Pedro Santa-Clara
Publisher:
ISBN:
Category : Options (Finance) - Econometric models
Languages : en
Pages : 48
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Book Description
We use a novel pricing model to filter times series of diffusive volatility and jump intensity from S&P 500 index options. These two measures capture the ex-ante risk assessed by investors. We find that both components of risk vary substantially over time, are quite persistent, and correlate with each other and with the stock index. Using a simple general equilibrium model with a representative investor, we translate the filtered measures of ex-ante risk into an ex-ante risk premium. We find that the average premium that compensates the investor for the risks implicit in option prices, 10.1 percent, is about twice the premium required to compensate the same investor for the realized volatility, 5.8 percent. Moreover, the ex-ante equity premium that we uncover is highly volatile, with values between 2 and 32 percent. The component of the premium that corresponds to the jump risk varies between 0 and 12 percent.
Author: Peter Hördahl
Publisher:
ISBN:
Category : Stocks
Languages : en
Pages : 153
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Author: Jisoo Yoo
Publisher:
ISBN:
Category : Futures market
Languages : en
Pages : 164
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Book Description
Author: John H. Cochrane
Publisher: Now Publishers Inc
ISBN: 1933019158
Category : Business & Economics
Languages : en
Pages : 117
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Book Description
Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.
Author: Stephen J. Taylor
Publisher: World Scientific
ISBN: 9812770852
Category : Business & Economics
Languages : en
Pages : 297
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Book Description
This book contains several innovative models for the prices of financial assets. First published in 1986, it is a classic text in the area of financial econometrics. It presents ARCH and stochastic volatility models that are often used and cited in academic research and are applied by quantitative analysts in many banks. Another often-cited contribution of the first edition is the documentation of statistical characteristics of financial returns, which are referred to as stylized facts. This second edition takes into account the remarkable progress made by empirical researchers during the past two decades from 1986 to 2006. In the new Preface, the author summarizes this progress in two key areas: firstly, measuring, modelling and forecasting volatility; and secondly, detecting and exploiting price trends. Sample Chapter(s). Chapter 1: Introduction (1,134 KB). Contents: Features of Financial Returns; Modelling Price Volatility; Forecasting Standard Deviations; The Accuracy of Autocorrelation Estimates; Testing the Random Walk Hypothesis; Forecasting Trends in Prices; Evidence Against the Efficiency of Futures Markets; Valuing Options; Appendix: A Computer Program for Modelling Financial Time Series. Readership: Academic researchers in finance & economics; quantitative analysts.
Author: Marie D. Racine
Publisher:
ISBN:
Category : Financial futures
Languages : en
Pages : 36
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Author:
Publisher: Lulu.com
ISBN: 9291316695
Category : Bank capital
Languages : en
Pages : 294
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Book Description
