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Equity Volatility Term Structures and the Cross-Section of Option Returns

Vasquez, Aurelio - 2016

The slope of the implied volatility term structure is positively related to future option returns. We rank firms based on the slope of the volatility term structure and analyze the returns for straddle portfolios. Straddle portfolios with high slopes of the volatility term structure outperform...

Persistent link: https://www.econbiz.de/10013008475

The Empirical Performance of Option Implied Volatility Surface-Driven Optimal Portfolios

Guidolin, Massimo; Wang, Kai - 2022

We apply a two-step strategy to forecast the dynamics of the volatility surface implicit in option prices to all American-style options written on the stocks that have entered the Dow Jones Industrial Average Index between 2004 and 2016. We explore whether the implied volatilities extracted...

Persistent link: https://www.econbiz.de/10014235957

The effectiveness of the FX market interventions of the Bundesbank during the Louvre period : an options-based analysis

Pierdzioch, Christian - 2000

The effectiveness of the foreign exchange market interventions conducted by the Deutsche Bundesbank during the Louvre period to alter either the level or the volatility of the $/DM spot rate is examined. Volatility quotes implicit in foreign currency options are employed to recover the impact of...

Persistent link: https://www.econbiz.de/10011476547

Equity volatility term structures and the cross section of option returns

Vasquez, Aurelio - In: Journal of financial and quantitative analysis : JFQA 52 (2017) 6, pp. 2727-2754

Persistent link: https://www.econbiz.de/10011929375

Futures Hedge Profit Measurement Error-Correction Model vs. Regression Approach Hedge Ratios, and Data Error Effects

Ferguson, Robert - 2017

This paper proposes that, and explains why, hedge profits and regression approach hedge ratios should be calculated using cost-of-carry-adjusted price changes. This Modified Regression Method for determining hedge ratios is denoted MRM. The paper discusses the Error-Correction Model for hedge...

Persistent link: https://www.econbiz.de/10012953645

Time-Varying Spot and Futures Oil Price Dynamics

Caporale, Guglielmo Maria - 2010

contracts. The implications of these results for hedging and forecasting crude oil spot prices are also discussed …

Persistent link: https://www.econbiz.de/10013141469

Time-varying spot and futures oil price dynamics

Caporale, Guglielmo Maria; Ciferri, Davide; Girardi, … - 2010

contracts. The implications of these results for hedging and forecasting crude oil spot prices are also discussed …

Persistent link: https://www.econbiz.de/10003965099

The superiority of time-varying hedge ratios in Turkish futures market

Olgun, Onur; Yetkiner, İbrahim Hakan - 2009

use portfolio variance reduction as the measure of hedging effectiveness. We find that timevarying hedge ratios outperform … Pricing ; Hedging ; M-GARCH ; Hedging effectiveness …

Persistent link: https://www.econbiz.de/10003896560

Time-varying spot and futures oil price dynamics

Caporale, Guglielmo Maria; Ciferri, Davide; Girardi, … - 2010

contracts. The implications of these results for hedging and forecasting crude oil spot prices are also discussed …

Persistent link: https://www.econbiz.de/10003949493

Managing the risks of corporate bond portfolios : new evidence in the light of the sub‐prime crisis

Barone-Adesi, Giovanni; Carcano, Nicola; Dall'O, Hakim - 2012

We consider modeling errors in the hedging of a portfolio composed from BBB-rated bonds. By doing this, we open a new … value of indexlinked credit derivatives is very limited: hedging portfolios including only T-bond futures can reduce the … hedging. This is consistent with the literature identifying an important non-default component within corporate bond spreads …

Persistent link: https://www.econbiz.de/10009558422