Download or read book Three Essays in Time Series Models of Futures Markets written by Avuthu Rami Reddy and published by . This book was released on 1999 with total page 332 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Volatility and Information Content of Futures Markets written by Pavel Teterin and published by . This book was released on 2018 with total page 162 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book State Space Time Series Models of Serially Correlated Variances and Their Application to Agricultural Risk Management written by Zhiqiang Leng and published by . This book was released on 1995 with total page 216 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on the Futures Markets written by Abhay H. Abhyankar and published by . This book was released on 1995 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Futures Markets written by Luyang Fu and published by . This book was released on 2002 with total page 184 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Investments and Time Series Econometrics written by Joshua Andrew Brooks and published by . This book was released on 2015 with total page 143 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation includes three essays on investments and time series econometrics. This work gives new insight into the behavior of implied marginal tax rates, implied volatility, and option pricing models. The first essay examines the movement of implied marginal tax rates. A body of research points to the existence of implied marginal tax rates that can be extracted from security or derivative prices. We use the LIBOR-based interest rate swap curve and the MSI-based interest rate swap curve to examine changes in the implied tax rate. We document multiple statistically and economically significant structural breaks in the long-run implied marginal tax rate that are not exclusively located in the financial crisis (one as recent as October, 2010). These breaks represent persistent divergence from long run averages and indicate that mean reversion models may not accurately describe the stochastic processes of implied marginal tax rates. In the second essay, I develop an asymmetric time series model of the VIX. I show that the VIX and realized volatility display significant nonlinear effects which I approximate with a smooth-transition autoregressive model. I find that under certain regimes the VIX depends almost exclusively on previous realized volatility. Under other regimes, I find that the VIX depends on both its lags and previous realized volatility. Since the VIX has become a popular hedging instrument, this finding has important implications for risk managers who elect to use the VIX and its related investment vehicles. It also has implications for the use of implied volatility in value-at-risk forecasting. The third essay presents a new model for option pricing model selection. There is a significant performativity issue intrinsic in much of the option pricing literature. Once an option-pricing model (OPM) gains widespread acceptance, volatilities tend to move so that the OPM fits well with observed prices. This often leads to systematic mispricing based purely on model results. A number of systematic issues such as volatility smile are present in OPMs. To remedy this issue, I propose a new method for ranking OPMs based on one step ahead forecasts. This model transforms the data to build a distribution of the stochastic term present in OPM. This sample distribution is then tested for normality so that OPMs can be ranked in a Bayesian-like framework by their closeness to a normal distribution.

Download or read book Three essays on market depth in futures markets written by Alexandre Aidov and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Economic Forecasting and Theory Examination written by Dong Yan and published by . This book was released on 2004 with total page 156 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the first chapter, Monte Carlo simulation and bootstrap methods are used to compare the actual and nominal coverage probabilities of prediction intervals constructed using the Prais-Winsten modified weighted symmetric least squares (PW-MWSLS) estimation method. The evidence suggests that the PW-MWSLS estimator, the best point predictor, for the linear trend model with first-order autoregressive errors also leads to prediction intervals with the most accurate coverage rates for the linear trend model with first-order autoregressive errors. The second chapter employs an innovative methodology to construct inflation expectations by incorporating information in the commodity futures market. The empirical results from the vector dynamic system show that the constructed expected rate of inflation series provides the best in-sample and out-of-sample forecasts over the sample period under investigation. Chapter three applies the constructed time series of inflation expectations in the second chapter to examine two broadly debated topics in the field of economics, the Fisher effect and the Phillips curve. The findings provide support for the existence of the short-run Fisher effect; and for the examination of the two main alternative specifications of the Phillips curve, the New Keynesian Phillips curve and the expectations-augmented Phillips curve, the empirical evidence is in favor of the former.

Download or read book Trends and Cycles in Financial Markets written by Jacob B.L. Smith and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation is a collection of three essays applying modern time series techniques in the context of financial markets. There is a particular focus on disentangling persistent trend components from transitory cyclical dynamics. The information contained in these cyclical components is leveraged to garner insight into the broader macroeconomy. The first essay, Trend and Cycle in the Yield Curve: A Procedure for Forecasting Recessions, utilizes short-term (slope) dynamics present in the yield curve to predict impending economic downturns. Building on a large body of literature chronicling the relationship between the shape of the yield curve and the business cycle I employ Dynamic Nelson-Siegel modeling to define the level, slope, and curvature characteristics of the term structure through time. Given these dynamics, the trend and cycle are extracted using various decomposition techniques. I show that cycles present within the slope factor are extremely robust predictors of recessions, correctly identifying recessions as much as eighteen months in advance. Moreover, I develop a ``Predictive Power Score'' as a way to quantify my procedure's performance. This score demonstrates the superiority of my procedure over other common leading indicators including the yield spread. This first essay illustrates a common obstacle faced by researchers when attempting to measure cycles in real-time. Symmetric band-pass filters are estimated at the expense of data trimming, i. e. current estimates of the cycle must be sacrificed in order to construct the filtered series. Building on the work of Baxter and King (1999), Christiano and Fitzgerald (2003) construct a ``one-sided" filter which allows the practitioner to obtain estimates of the cycle in real-time. The second essay of this dissertation, Spurious Periodicity in Christiano-Fitzgerald Filtered Time Series, studies the cyclical properties of time series filtered by the Christiano and Fitzgerald (2003) filter. I show that in the presence of a stochastic trend the CF filter imposes spurious periodicity onto the filtered series, i. e. the filter imparts cyclicality where there is none. This is due to a common defect among band-pass filters which allows cyclical components of the error term to pass through the filter to the estimated cycle. In practice, this leads to cycle estimates of higher amplitude and longer duration. The third essay of this dissertation focuses on an emerging financial market which until recently has received little attention in the academic literature. An Analysis of Bitcoin Exchange Rates studies the relationship between bitcoin prices and the foreign exchange market in a way that has not been done before. I contend that the best way to think of bitcoins is as digital gold. Bitcoins are a purely electronic commodity traded for speculative purposes as well as in exchange for goods and services. Just like physical gold the relative price of bitcoins denominated in different currencies implies a nominal exchange rate. This is a departure from previous literature which treats bitcoin prices themselves as exchange rates. I argue that treating prices as exchange rates is inappropriate as one would not consider the price of physical gold to be an exchange rate. Therefore, I characterize the behavior of nominal exchange rates implied by relative bitcoin prices. I show that the implied nominal exchange rate is highly cointegrated with the nominal exchange rate determined in conventional foreign currency exchange markets. I also show that the direction of causality flows from the conventional markets to the bitcoin market and not vice-versa which can explain much of the volatility in bitcoin prices.

Download or read book Three Essays on the Economic Role of Stock Index Futures Markets written by and published by . This book was released on 1990 with total page 129 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays in Time Series Econometrics written by Atsushi Inoue and published by . This book was released on 1998 with total page 113 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on the Study of Macroeconomic Variables Using Time Series Models written by Ting Qin and published by . This book was released on 2007 with total page 144 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays in International Macroeconomics and Forecasting written by Jesus Antonio Bejarano Rojas and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation contains three essays in international macroeconomics and financial time series forecasting. In the first essay, I show, numerically, that a two-country New-Keynesian Sticky Prices model, driven by monetary and productivity shocks, is capable of explaining the highly positive correlation across the industrialized countries' inflation even though their cross-country correlation in money growth rate is negligible. The structure of this model generates cross-country correlations of inflation, output and consumption that appear to closely correspond to the data. Additionally, this model can explain the internal correlation between inflation and output observed in the data. The second essay presents two important results. First, gains from monetary policy cooperation are different from zero when the elasticity of substitution between domestic and imported goods consumption is different from one. Second, when monetary policy is endogenous in a two-country model, the only Nash equilibria supported by this model are those that are symmetrical. That is, all exporting firms in both countries choose to price in their own currency, or all exporting firms in both countries choose to price in the importer's currency. The last essay provides both conditional and unconditional predictive ability evaluations of the aluminum futures contracts prices, by using five different econometric models, in forecasting the aluminum spot price monthly return 3, 15, and 27-months ahead for the sample period 1989.01-2010.10. From these evaluations, the best model in forecasting the aluminum spot price monthly return 3 and 15 months ahead is followed by a (VAR) model whose variables are aluminum futures contracts price, aluminum spot price and risk free interest rate, whereas for the aluminum spot price monthly return 27 months ahead is a single equation model in which the aluminum spot price today is explained by the aluminum futures price 27 months earlier. Finally, it shows that iterated multiperiod-ahead time series forecasts have a better conditional out-of-sample forecasting performance of the aluminum spot price monthly return when an estimated (VAR) model is used as a forecasting tool.

Download or read book Models of Futures Markets written by Barry Goss and published by Routledge. This book was released on 2013-05-13 with total page 190 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume presents an entirely new analysis of the economics of futures markets, that will be of interest to both specialists in the area and the generalist economist seeking a new perspective. Through a combination of theoretical investigation and empirical application, three important themes are explored: the gains from futures trading and the efforts of emerging markets to reap these benefits; rationality and rival hypotheses of trader behaviour, such as noise trading; and the effect of regulatory tools on price formation.

Download or read book Three Essays on the Economic Role of Stock Index Futures Markets written by Anne Fremault and published by . This book was released on 1990 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Empirical Time Series Modeling with Causality and Structural Change written by Jin Woong Kim and published by . This book was released on 2006 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this dissertation, three related issues of building empirical time series models for financial markets are investigated with respect to contemporaneous causality, dynamics, and structural change. In the first essay, nation-wide industry information transmission among stock returns of ten sectors in the U.S. economy is examined through the Directed Acyclical Graph (DAG) for contemporaneous causality and Bernanke decomposition for dynamics. The evidence shows that the information technology sector is the most root cause sector. Test results show that DAG from ex ante forecast innovations is consistent with the DAG from ex post fit innovations. This supports innovation accounting based on DAGs using ex post innovations. In the second essay, the contemporaneous/dynamic behaviors of real estate and stock returns are investigated. Selected macroeconomic variables are included in the model to explain recent movements of both returns. During 1971-2004, there was a single structural break in October 1980. A distinct difference in contemporaneous causal structure before and after the break is found. DAG results show that REITs take the role of a causal parent after the break. Innovation accounting shows significantly positive responses of real estate returns due to an initial shock in default risk but insignificant responses of stock returns. Also, a shock in short run interest rates affects real estate returns negatively with significance but does not affect stock returns. In the third essay, a structural change in the volatility of five Asian and U.S. stockmarkets is examined during the post-liberalization period (1990-2005) in the Asian financial markets, using the Sup LM test. Four Asian financial markets (Hong Kong, Japan, Korea, and Singapore) experienced structural changes. However, test results do not support the existence of structural change in volatility for Thailand and U.S. Also, results show that the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) persistent coefficient increases, but the Autoregressive Conditional heteroskedasticity (ARCH) impact coefficient, implying short run adjustment, decreases in Asian markets. In conclusion, when the econometric model is set up, it is necessary to consider contemporaneous causality and possible structural breaks (changes). The dissertation emphasizes causal inference and structural consistency in econometric modeling. It highlights their importance in discovering contemporaneous/dynamic causal relationships among variables. These characteristics will likely be helpful in generating accurate forecasts.

Download or read book Three Essays in International Economics written by Alain Chaboud and published by . This book was released on 1997 with total page 292 pages. Available in PDF, EPUB and Kindle. Book excerpt: