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Limits to arbitrage and hedging: Evidence from commodity markets

Acharya, Viral V.; Lochstoer, Lars A.; Ramadorai, Tarun - In: Journal of Financial Economics 109 (2013) 2, pp. 441-465

producers have hedging demands for commodity futures. Increases in producers' hedging demand or speculators' capital constraints … increase hedging costs via price-pressure on futures. These in turn affect producers' equilibrium hedging and supply decision … 2010. The component of the commodity futures risk premium associated with producer hedging demand rises when speculative …

Persistent link: https://www.econbiz.de/10010678703

Continuous-time VIX dynamics: On the role of stochastic volatility of volatility

Kaeck, Andreas; Alexander, Carol - In: International Review of Financial Analysis 28 (2013) C, pp. 46-56

This paper examines the ability of several different continuous-time one- and two-factor jump-diffusion models to capture the dynamics of the VIX volatility index for the period between 1990 and 2010. For the one-factor models we study affine and non-affine specifications, possibly augmented...

Persistent link: https://www.econbiz.de/10010666203

Liquidity risk of corporate bond returns: conditional approach

Acharya, Viral V.; Amihud, Yakov; Bharath, Sreedhar T. - In: Journal of Financial Economics 110 (2013) 2, pp. 358-386

We study the exposure of the US corporate bond returns to liquidity shocks of stocks and Treasury bonds over the period 1973–2007 in a regime-switching model. In one regime, liquidity shocks have mostly insignificant effects on bond prices, whereas in another regime, a rise in illiquidity...

Persistent link: https://www.econbiz.de/10011039286

Volatility dynamics for the S&P 500: Further evidence from non-affine, multi-factor jump diffusions

Kaeck, Andreas; Alexander, Carol - In: Journal of Banking & Finance 36 (2012) 11, pp. 3110-3121

We apply Markov chain Monte Carlo methods to time series data on S&P 500 index returns, and to its option prices via a term structure of VIX indices, to estimate 18 different affine and non-affine stochastic volatility models with one or two variance factors, and where jumps are allowed in both...

Persistent link: https://www.econbiz.de/10010580929

Crypto quanto and inverse options

Alexander, Carol; Chen, Ding; Imeraj, Arben - In: Mathematical finance : an international journal of … 33 (2023) 4, pp. 1005-1043

Persistent link: https://www.econbiz.de/10014370619

The bitcoin VIX and its variance risk premium

Alexander, Carol; Imeraj, Arben - In: The journal of alternative investments : JAI 23 (2021) 4, pp. 84-109

Persistent link: https://www.econbiz.de/10012503289

Understanding and managing interest rate risk at banks

Acharya, Viral V. - In: Macroeconomics and finance in emerging market economies 11 (2018) 1/3, pp. 218-231

Persistent link: https://www.econbiz.de/10011974365

Optimal financial-market integration and security design

Acharya, Viral V.; Bisin, Alberto - In: The journal of business : B 78 (2005) 6, pp. 2397-2434

Persistent link: https://www.econbiz.de/10003294749

The (de)merits of minimum-variance hedging: Application to the crack spread

Alexander, Carol; Prokopczuk, Marcel; Sumawong, Anannit - In: Energy Economics 36 (2013) C, pp. 698-707

We study the empirical performance of the classical minimum-variance hedging strategy, comparing several econometric …-variance hedging models, especially those based on GARCH, generate much greater margin and transaction costs than the naïve hedge …. Therefore we encourage hedgers to use a naïve hedging strategy on the crack spread bundles now offered by the exchange; this …

Persistent link: https://www.econbiz.de/10011039586

Credit lines as monitored liquidity insurance : theory and evidence

Acharya, Viral V.; Almeida, Heitor; Ippolito, Filippo; … - In: Journal of financial economics 112 (2014) 3, pp. 287-319

Persistent link: https://www.econbiz.de/10010421845