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Brousseau, Vincent - 2002

Yield curves built from liquid instruments tend to exhibit specific features, both in term of smoothness and in term of patterns. The paper presents empirical evidence that those liquid yiled curves frequently conform to a specific functional form. This specific functional form is predicted by a...

Persistent link: https://www.econbiz.de/10011604194

Option-implied asymmetries in bond market expectations around monetary policy actions of the ECB

Vähämaa, Sami - 2004

This paper uses data on German government bond futures options to examine the behaviour of market expectations around monetary policy actions of the European Central Bank (ECB). In particular, this paper focuses on the asymmetries in bond market expectations, as measured by the skewness of...

Persistent link: https://www.econbiz.de/10011604361

Modelling the implied probability of stock market movements

Glatzer, Ernst; Scheicher, Martin - 2003

, we implement the mixture of log-normals model and a volatility-smoothing method. We discuss the time series behaviour of … second main observation is a significant spillover of volatility, as the implied volatility and kurtosis of the DAX RND are … mostly driven by the volatility of US stock prices. …

Persistent link: https://www.econbiz.de/10011604258

The informational content of over-the-counter currency options

Christoffersen, Peter; Mazzotta, Stefano - 2004

future exchange rates. The purpose of this paper is to systematically assess the quality of option based volatility, interval … option prices. We find that the OTC implied volatilities explain a much larger share of the variation in realized volatility …

Persistent link: https://www.econbiz.de/10011604412

Assessing the Compensation for Volatility Risk Implicit in Interest Rate Derivatives

Fornari, Fabio - 2021

volatility risk, for dollar, euro and pound rates at a daily frequency, between October 1998 and August 2006. The measurement of … the volatility risk premium rests on a simple model according to which variance forecasts are generated under the … large - negative - compensation for volatility risk, a component which was smaller in absolute terms - but not relative to …

Persistent link: https://www.econbiz.de/10013316627

A Quantitative Mirror on the Euribor Market Using Implied Probability Density Functions

de Vincent-Humphreys, Rupert - 2011

This paper presents a set of probability density functions for Euribor outturns in three months' time, estimated from the prices of options on Euribor futures. It is the first official and freely available dataset to span the complete history of Euribor futures options, thus comprising over ten...

Persistent link: https://www.econbiz.de/10013132237

High Frequency Trading and Fragility

Cespa, Giovanni - 2017

We show that limited dealer participation in the market, coupled with an informational friction resulting from high frequency trading, can induce demand for liquidity to be upward sloping and strategic complementarities in traders' liquidity consumption decisions traders demand more liquidity...

Persistent link: https://www.econbiz.de/10012963014

The Scapegoat Theory of Exchange Rates : The First Tests

Fratzscher, Marcel - 2012

This paper provides an empirical test of the scapegoat theory of exchange rates (Bacchetta and van Wincoop 2004, 2011), as an attempt to evaluate its potential for explaining the poor empirical performance of traditional exchange rate models. This theory suggests that market participants may at...

Persistent link: https://www.econbiz.de/10013111946

Institutional Presence in Secondary Bank Bond Markets : How Does It Affect Liquidity and Volatility?

Oprica, Silviu - 2019

the presence of institutional investors affects volatility and liquidity in secondary bank bond markets. We find that non …' liquidity conditions, at the cost of significantly increasing volatility of daily returns. The effect translates to more than a … 19% improvement in liquidity conditions and up to 57% increase in daily-return volatility, assuming MMFs hold about 10 …

Persistent link: https://www.econbiz.de/10012871121

Disentangling the Role of the Exchange Rate in Oil-Related Scenarios for the European Stock Market

Ojea Ferreiro, Javier - 2021

Until now, stock market responses to a distress scenario for oil prices have been analysed considering prices in domestic currency. This assumption implies merging the commodity risk with the exchange rate risk when oil and stocks are traded in different currencies. This article proposes...

Persistent link: https://www.econbiz.de/10013315362