Search Results - isPartOf:"Manchester Business School Working Paper"

How does the market variance risk premium vary over time? : evidence from S&P 500 variance swap investment returns

Konstantinidi, Eirini; Skiadopoulos, George - 2014

We explore whether the market variance risk premium (VRP) can be predicted. First, we propose a novel approach to measure VRP which distinguishes the investment horizon from the variance swap's maturity. We extract VRP from actual rather than synthetic S&P 500 variance swap quotes, thus avoiding...

Persistent link: https://www.econbiz.de/10010412464

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How does the market variance risk premium vary over time? Evidence from S&P 500 variance swap investment returns

Konstantinidi, Eirini; Skiadopoulos, George - 2014

Book / Working Paper

Rural sector reform and internet adoption in NGOs: The case of Indonesia

Nugroho, Yanuar - 2008

Persistent link: https://www.econbiz.de/10010277934

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Rural Sector Reform and Internet Adoption in NGOs : The Case of Indonesia

Nugroho, Yanuar - 2014

Book / Working Paper

Spreading the word, broadening perspectives: Internet, NGOs and globalisation discourse in Indonesia

Nugroho, Yanuar - 2008

Persistent link: https://www.econbiz.de/10010277889

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Spreading the Word, Broadening Perspectives : Internet, NGOs and Globalisation Discourse in Indonesia

Nugroho, Yanuar - 2014

Book / Working Paper

Managing portfolio risk using multivariate extreme value methods

Hilal, Sawson; Poon, Ser-Huang; Tawn, Jonathan - 2013

This paper provides a strategy for portfolio risk management by inferring extreme movements in financial markets. The core of the provided strategy is a statistical model for the joint tail distribution that attempts to capture accurately the data generating process through an extremal modelling...

Persistent link: https://www.econbiz.de/10010206955

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Managing portfolio risk using multivariate extreme value methods

Hilal, Sawson; Poon, Ser-Huang; Tawn, Jonathan - 2013

Book / Working Paper

Multi-level Monte Carlo simulations with importance sampling

Stilger, Przemyslaw Stan; Poon, Ser-Huang - 2013

We present an application of importance sampling in a Monte Carlo simulation for multi-asset options and in a Multi-Level Monte Carlo simulation. We demonstrate that applying importance sampling only on the first level of the Multi-Level Monte Carlo significantly improves its effective...

Persistent link: https://www.econbiz.de/10010206934

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Multi-level Monte Carlo simulations with importance sampling

Stilger, Przemyslaw Stan; Poon, Ser-Huang - 2013

Book / Working Paper

Consistent pricing and hedging volatility derivatives with two volatility surfaces

Chen, Mark Ke; Poon, Ser-Huang - 2013

Using the joint characteristic function of equity price and state variables, we can price contingent claims on both equity and VIX consistently. Based on linear approximation of jump size, we show that one factor models implies all VIX future contract of different maturities are perfectly...

Persistent link: https://www.econbiz.de/10010206962

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Consistent pricing and hedging volatility derivatives with two volatility surfaces

Chen, Ke; Poon, Ser-Huang - 2013

Book / Working Paper

An empirical analysis of changes in the relative timeliness of issuer-paid vs. investor-paid

Berwart, Erik; Guidolin, Massimo; Milidonis, Andreas - 2013

We investigate the lead-lag relationships between issuer- and investor-paid credit rating agencies, in the aftermath of the regulatory reforms undertaken in the U.S. between 2002 and 2006 - including watch list inclusions and outlooks. First, we find that the lead effect of investor-paid over...

Persistent link: https://www.econbiz.de/10010206919

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An empirical analysis of changes in the relative timeliness of issuer-paid vs. investor-paid

Berwart, Erik; Guidolin, Massimo; Milidonis, Andreas - 2013

Book / Working Paper

Do we need non-linear models to predict REIT returns?

Case, Bradford; Guidolin, Massimo; Yildirim, Yildiray - 2013

We investigate whether the favorable performance of a fairly simple multistate multivariate Markov regime switching model relative to even very complex multivariate GARCH specifications, recently reported in the literature using measures of in-sample prediction accuracy, extends to pseudo...

Persistent link: https://www.econbiz.de/10010206925

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Do we need non-linear models to predict REIT returns?

Case, Brad; Guidolin, Massimo; Yildirim, Yildiray - 2013

Book / Working Paper

Playing for high steaks : market structure and purchaser-led sustainbaility initiatives in the UK beef sector

Foster, Chris; Gee, Sally - 2013

Large purchasers, or "focal organisations", exert considerable control over their value chains, particularly in the food sector. This paper draws on original qualitative research about the UK beef sector to explore how large purchasers are organising supply-chain eco-innovation. Livestock...

Persistent link: https://www.econbiz.de/10009748639

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Playing for high steaks: Market structure and purchaser-led sustainbaility initiatives in the UK beef sector

Foster, Chris; Gee, Sally - 2013

Book / Working Paper

Variance swap premium under stochastic volatility and self-exciting jumps

Chen, Mark Ke; Poon, Ser-Huang - 2013

We introduce a stochastic volatility model with self-exciting jump intensity to capture the change in pricing dynamic triggered by big negative stock returns. The stochastic variance and jump intensity, and their risk premium are estimated jointly from daily stock returns and option data over...

Persistent link: https://www.econbiz.de/10010206966

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Variance swap premium under stochastic volatility and self-exciting jumps

Chen, Ke; Poon, Ser-Huang - 2013

Book / Working Paper