Download or read book Forecasting Spot Interest Rate Volatility written by Miguel A. Ferreira and published by . This book was released on 2004 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper compares the in-sample and out-of-sample forecasting performance of models of the spot interest rate volatility using French and Germany short-term interest rates, 1981-1997. For a one-week horizon, the volatility forecasts evaluation shows that the model with the best fit does not have the highest forecasting power. The out-of-sample evidence supports that models with only news effect have similar forecasting power and effciency to models with mixed level and news effect, which have the best fit. Also, sample variance forecasts calculated using exponentially declining weights present forecasting power and effciency similar to the best volatility models.

Download or read book Forecasting Interest Rates written by John B. Schwartzman and published by McGraw-Hill Companies. This book was released on 1992 with total page 244 pages. Available in PDF, EPUB and Kindle. Book excerpt: Set up your own simple, one-page charts that track and assess interest rates and the factors affecting them--on a weekly, monthly, or quarterly basis. Determine, with a high degree of accuracy, in which direction the various trends influencing interest rates are likely to push them. Supplemented by a host of charts, graphs, examples, and illustrations, Forecasting Interest Rates allows you to spot the all-important events that cause interest rates to move--whether they're front-page news or subtle incidents. It shows you how to recognize a reliable interest rate factor from a red herring--whether the source is the Department of Commerce, the Department of Labor Statistics, the Federal Reserve Board, a university research center, or a nonprofit company specializing in business economic research.

Download or read book Essays on the Volatility of the Term Structure of Interest Rates written by Miguel A. Ferreira and published by . This book was released on 2000 with total page 204 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Forecasting Spot Price Volatility Using the Short Term Forward Curve written by Erik Haugom and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper uses high-frequency real-time spot prices and day-ahead forward prices from the eastern hub of the Pennsylvania-New Jersey-Maryland (PJM) electricity market to calculate, describe, and forecast realized spot price volatility. Using Heterogeneous Autoregressive models of realized volatility (HAR-RV) we find that, as in financial markets, electricity volatility is persistent. We extend the literature by incorporating volatility implied by day-ahead forward prices (forward implied volatility) into our forecasts of future spot price volatility. Including forward implied volatility improves forecasts of spot price volatility - in the sense of higher R-squareds and lower forecast errors.

Download or read book Forecasting Volatility in the Financial Markets written by Stephen Satchell and published by Elsevier. This book was released on 2011-02-24 with total page 428 pages. Available in PDF, EPUB and Kindle. Book excerpt: Forecasting Volatility in the Financial Markets, Third Edition assumes that the reader has a firm grounding in the key principles and methods of understanding volatility measurement and builds on that knowledge to detail cutting-edge modelling and forecasting techniques. It provides a survey of ways to measure risk and define the different models of volatility and return. Editors John Knight and Stephen Satchell have brought together an impressive array of contributors who present research from their area of specialization related to volatility forecasting. Readers with an understanding of volatility measures and risk management strategies will benefit from this collection of up-to-date chapters on the latest techniques in forecasting volatility. Chapters new to this third edition:* What good is a volatility model? Engle and Patton* Applications for portfolio variety Dan diBartolomeo* A comparison of the properties of realized variance for the FTSE 100 and FTSE 250 equity indices Rob Cornish* Volatility modeling and forecasting in finance Xiao and Aydemir* An investigation of the relative performance of GARCH models versus simple rules in forecasting volatility Thomas A. Silvey Leading thinkers present newest research on volatility forecasting International authors cover a broad array of subjects related to volatility forecasting Assumes basic knowledge of volatility, financial mathematics, and modelling

Download or read book Interest Rate Analysis and Forecasting written by David Kern and published by . This book was released on 1992 with total page 152 pages. Available in PDF, EPUB and Kindle. Book excerpt: The focus of this book is on interest rate forecasting, and the interaction between analytical factors, political and economic developments and changes in the financial markets. The book takes an international approach with the emphasis on the USA, Germany, Japan and the UK.

Download or read book Economic Information and Market Volatility Expectations written by Ruthann Kimberly Melbourne and published by . This book was released on 2000 with total page 178 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Forecasting the Comovements of Spot Interest Rates written by Miguel A. Ferreira and published by . This book was released on 2004 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: Time-varying covariance models are compared in the French and German interest rate markets of the pre-euro period. A bivariate, asymmetric dynamic covariance model with level effect best characterizes the in-sample variance-covariance dynamics. Model comparison using economic loss functions raises some doubts with alternative models performing similarly. Out-of-sample results show that the variance-covariance matrix is best forecasted using a VECH model with level effect but no volatility spillover, not entirely confirming the in-sample evidence. Simple models using exponentially-weighted moving averages of past observations perform similarly to the best bivariate model. Thus, some features required to obtain a good in-sample fit do not have additional out-of-sample forecasting power due to overfitting.

Download or read book Modelling and Forecasting Short Term Interest Rate Volatility written by Ai Jun Hou and published by . This book was released on 2012 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper employs a semiparametric procedure to estimate the diffusion process of short-term interest rates. The Monte Carlo study shows that the semiparametric approach produces more accurate volatility estimates than models that accommodate asymmetry, level effect and serial dependence in the conditional variance. Moreover, the semiparametric approach yields robust volatility estimates even if the short rate drift function and the underlying innovation distribution are misspecified. Empirical investigation with the U.S. three-month Treasury bill rates suggests that the semiparametric procedure produces superior in-sample and out-of-sample forecast of short rate changes volatility compared with the widely used single-factor diffusion models. This forecast improvement has implications for pricing interest rate derivatives.

Download or read book A General Stochastic Volatility Model for the Pricing and Forecasting of Interest Rate Derivatives written by Anders B. Trolle and published by . This book was released on 2006 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop a tractable and flexible stochastic volatility multi-factor model of the term structure of interest rates. It features correlations between innovations to forward rates and volatilities, quasi-analytical prices of zero-coupon bond options and dynamics of the forward rate curve, under both the actual and risk-neutral measure, in terms of a finite-dimensional affine state vector. The model has a very good fit to an extensive panel data set of interest rates, swaptions and caps. In particular, the model matches the implied cap skews and the dynamics of implied volatilities. The model also performs well in forecasting interest rates and derivatives.

Download or read book International Convergence of Capital Measurement and Capital Standards written by and published by Lulu.com. This book was released on 2004 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Exchange rate Determination written by Peter Isard and published by . This book was released on 1978 with total page 74 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Volatility and Correlation written by Riccardo Rebonato and published by John Wiley & Sons. This book was released on 2005-07-08 with total page 864 pages. Available in PDF, EPUB and Kindle. Book excerpt: In Volatility and Correlation 2nd edition: The Perfect Hedger and the Fox, Rebonato looks at derivatives pricing from the angle of volatility and correlation. With both practical and theoretical applications, this is a thorough update of the highly successful Volatility & Correlation – with over 80% new or fully reworked material and is a must have both for practitioners and for students. The new and updated material includes a critical examination of the ‘perfect-replication’ approach to derivatives pricing, with special attention given to exotic options; a thorough analysis of the role of quadratic variation in derivatives pricing and hedging; a discussion of the informational efficiency of markets in commonly-used calibration and hedging practices. Treatment of new models including Variance Gamma, displaced diffusion, stochastic volatility for interest-rate smiles and equity/FX options. The book is split into four parts. Part I deals with a Black world without smiles, sets out the author’s ‘philosophical’ approach and covers deterministic volatility. Part II looks at smiles in equity and FX worlds. It begins with a review of relevant empirical information about smiles, and provides coverage of local-stochastic-volatility, general-stochastic-volatility, jump-diffusion and Variance-Gamma processes. Part II concludes with an important chapter that discusses if and to what extent one can dispense with an explicit specification of a model, and can directly prescribe the dynamics of the smile surface. Part III focusses on interest rates when the volatility is deterministic. Part IV extends this setting in order to account for smiles in a financially motivated and computationally tractable manner. In this final part the author deals with CEV processes, with diffusive stochastic volatility and with Markov-chain processes. Praise for the First Edition: “In this book, Dr Rebonato brings his penetrating eye to bear on option pricing and hedging.... The book is a must-read for those who already know the basics of options and are looking for an edge in applying the more sophisticated approaches that have recently been developed.” —Professor Ian Cooper, London Business School “Volatility and correlation are at the very core of all option pricing and hedging. In this book, Riccardo Rebonato presents the subject in his characteristically elegant and simple fashion...A rare combination of intellectual insight and practical common sense.” —Anthony Neuberger, London Business School

Download or read book Interest Rate Volatility and Expectations about the Business Cycle written by María Isabel Martínez Serna and published by . This book was released on 2014 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: One explanation for the usefulness of financial variables as tools for economic forecasting is that they embody the expectations of economic agents about the future state of the economy. In this paper, we test whether interest rate volatility contains information on the expectations of agents which are directly measured by confidence indicators. For the sake of robustness, we use several different expectation indicators for the two countries we analyze, the US and Germany: the Conference Board Consumer Confidence Index, the Philadelphia Fed's Business Outlook Survey and the Purchase Management Index for the US and the Economic Sentiment Indicator, the IFO Business Climate and ZEW Indicator of Economic Sentiment for Germany. We propose using a forward-looking measure of volatility: the implied volatility of one year cap options. We find that implied volatility adds explanatory power to the yield spread and to changes in the short rate, which are typical predictors of the business cycle, and outperforms realized volatility.

Download or read book Volatility of Exchange Rates in Spot and Futures Markets written by Sallem Koubida and published by . This book was released on 2007 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation investigates conditional volatility in both spot and futures markets. We examine two approaches in spot market. While A parametric approach is the subject of the second chapter, the third chapter focuses on a nonparametric approach. In futures currency markets, we develop a model to identify the origin of conditional volatility using different type of traders. First, we focus on developing currency markets to explore if the conditional volatility in these markets have characteristics particular to themselves and to what extent these foreign exchange markets (Forex) share the characteristics of the developed markets using parametric models. Therefore, this paper examines weather the statistical models best suited for forecasting volatility of currencies from the high income countries also perform best in forecast of volatility of currencies from emerging market countries. Second, this study aims to forecast the conditional variance of exchange rates in developing countries using a non-parametric kernel smoothing technique with three different kernels: Gaussian, Epanechnikov, and Quartic. The evaluation of the predictive ability based on Root Mean Square Error, Mean Absolute Error, and Mean Absolute Percent Error to forecast 1, 5, and 22 days into the future shows that Gaussian distribution performs the best in short horizon while the other distributions converge to the same outcome as normal distribution in longer horizon. Finally, we try to identify what group of traders (hedgers or speculators) contributes more to the price volatility in currency futures markets. We control for both expected and unexpected trading volume and open interest to estimate the effect of traders' positions on the price volatility of currency futures. We find that short positions have significant associations with the volatility of futures prices. Further, the expected effect of short positions by speculators tends to have a larger effect than the expected effect of short positions by hedgers on volatility while the unexpected effect of short position by hedgers is likely to have a larger effect than the unexpected effect of short positions by speculators.

Download or read book Handbook of Economic Forecasting written by Graham Elliott and published by Elsevier. This book was released on 2013-08-23 with total page 667 pages. Available in PDF, EPUB and Kindle. Book excerpt: The highly prized ability to make financial plans with some certainty about the future comes from the core fields of economics. In recent years the availability of more data, analytical tools of greater precision, and ex post studies of business decisions have increased demand for information about economic forecasting. Volumes 2A and 2B, which follows Nobel laureate Clive Granger's Volume 1 (2006), concentrate on two major subjects. Volume 2A covers innovations in methodologies, specifically macroforecasting and forecasting financial variables. Volume 2B investigates commercial applications, with sections on forecasters' objectives and methodologies. Experts provide surveys of a large range of literature scattered across applied and theoretical statistics journals as well as econometrics and empirical economics journals. The Handbook of Economic Forecasting Volumes 2A and 2B provide a unique compilation of chapters giving a coherent overview of forecasting theory and applications in one place and with up-to-date accounts of all major conceptual issues. Focuses on innovation in economic forecasting via industry applications Presents coherent summaries of subjects in economic forecasting that stretch from methodologies to applications Makes details about economic forecasting accessible to scholars in fields outside economics

Download or read book A Practical Guide to Forecasting Financial Market Volatility written by Ser-Huang Poon and published by John Wiley & Sons. This book was released on 2005-08-19 with total page 236 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial market volatility forecasting is one of today's most important areas of expertise for professionals and academics in investment, option pricing, and financial market regulation. While many books address financial market modelling, no single book is devoted primarily to the exploration of volatility forecasting and the practical use of forecasting models. A Practical Guide to Forecasting Financial Market Volatility provides practical guidance on this vital topic through an in-depth examination of a range of popular forecasting models. Details are provided on proven techniques for building volatility models, with guide-lines for actually using them in forecasting applications.