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Demand risks and term structure of volatility index futures

Yang, Xinglin; Huang, Juan - In: Journal of management science and engineering 9 (2024) 4, pp. 568-586

In this paper, we develop an equilibrium framework to explain the characteristics of volatility index (VIX) futures prices and returns across maturities. In the framework, the investors prefer VIX futures with specific maturities, and the arbitrageurs optimize portfolios based on mean-variance...

Persistent link: https://www.econbiz.de/10015163377

Dynamic asset pricing in a unified Bachelier-Black-Scholes-Erton model

Lindquist, W. Brent; Račev, Svetlozar T.; Gnawali, Jagdish - In: Risks : open access journal 12 (2024) 9, pp. 1-24

condition for the unified model to support a perpetual derivative. Discrete binomial pricing under the unified model is also …

Persistent link: https://www.econbiz.de/10015065971

Term structure of interest rates with short-run and long-run risks

Grishchenko, Olesya V.; Song, Zhaogang; Zhou, Hao - In: The Journal of finance and data science : JFDS 8 (2022), pp. 255-295

long-run risk, economic uncertainty, and inflation non-neutrality. In the model IRVRP is related to short-run risk only …

Persistent link: https://www.econbiz.de/10014433708

Are CDS spreads sensitive to the term structure of the yield curve? : a sector-wise analysis under various market conditions

Aman, Asia - In: Journal of risk and financial management : JRFM 12 (2019) 4/158, pp. 1-13

This study examines the impact of changes in the yield curve factors on the Credit Default Swap (CDS) spreads of the U.S. industrial sectors. Stock returns and the crude oil-based volatility index are used in a quantile regression framework to test the validity of Merton’s model. The results...

Persistent link: https://www.econbiz.de/10012172992

Cross-currency credit spreads : harvesting the idiosyncratic basis as a source of ARP

Henide, Karim - In: Journal of derivatives and quantitative studies : … 30 (2022) 2, pp. 74-88

This paper identifies the "idiosyncratic basis", the residual premia computed from stripping away the hypothetical cross-currency basis (CCB) from the cross-currency credit spread (CCCS) of eligible senior corporate dollardenominated bonds relative to their hypothetical euro-denominated...

Persistent link: https://www.econbiz.de/10013202388

Downside risk and defaultable bond returns

Liang, Xinting; Yang, Baochen; Su, Yunpeng; An, Yunbi - In: Journal of management science and engineering 6 (2021) 1, pp. 99-110

This paper analyzes the influence of downside risk on defaultable bond returns. By introducing a defaultable bond-trading model, we show that the decline in market risk tolerance and information accuracy leads to trading loss under downside conditions. Our empirical analysis indicates that...

Persistent link: https://www.econbiz.de/10013206142

Tests for jumps in yield spreads

Winkelmann, Lars; Yao, Wenying - 2023

This paper studies high-frequency econometric methods to test for a jump in the spread of bond yields. We propose a coherent inference procedure that detects a jump in the yield spread only if at least one of the two underlying bonds displays a jump. Ignoring this inherent connection by basing...

Persistent link: https://www.econbiz.de/10014343097

A three-factor market model for incorporating explicit general inflation in non-life claims reserving

Moriconi, Franco - In: Risks : open access journal 11 (2023) 10, pp. 1-32

In a recent paper "Stochastic Chain-Ladder Reserving with Modeled General Inflation", the effects of modeled general … inflation on non-life claims reserving were studied using, along with the so called "market approach", a stochastic two …-factor market model, characterized by deterministic expected inflation. In the present paper, we repeat the same study, again with …

Persistent link: https://www.econbiz.de/10014391753

Does inflation asymmetrically afect foreign direct investment in an emerging market? : an application of the non-linear autoregressive distributed lag (NARDL) model

Adebayo, Tomiwa; Akinsola, Gbenga Daniel; Olkushola … - In: EuroEconomica 39 (2020) 3, pp. 82-98

Persistent link: https://www.econbiz.de/10012613193

Bond risk premia in consumption‐based models

Creal, Drew; Wu, Jing Cynthia - In: Quantitative economics : QE ; journal of the … 11 (2020) 4, pp. 1461-1484

Gaussian affine term structure models attribute time‐varying bond risk premia to changing risk prices driven by the conditional means of the risk factors, while structural models with recursive preferences credit it to stochastic volatility. We reconcile these competing channels by introducing...

Persistent link: https://www.econbiz.de/10012316725