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Quanto Implied Correlation in a Multi-Lévy Framework

Ballotta, Laura - 2015

In this paper we apply the multivariate construction for Lévy processes introduced by Ballotta and Bonfiglioli (2014) to propose an integrated model for the joint dynamics of FX exchange rates and asset prices. We show that the proposed construction is consistent in terms of symmetries with...

Persistent link: https://www.econbiz.de/10013027591

Cross-Country Equity Investment and Exchange Rate Dynamics

Chang, Sanders - 2011

This paper develops a model of exchange rate dynamics that takes into account speculative positions in foreign and domestic equities in addition to the "standard" positions in short-term riskless deposits. The modeling of cross-country stock holdings is motivated by evidence that a large and...

Persistent link: https://www.econbiz.de/10013129102

Quality Investing and the Cross-Section of Country Returns

Zaremba, Adam - 2016

practical implications include such issues as the global asset allocation, the development of investment products, asset pricing … and investment performance measurement. The country selection strategies based on leverage and profitability prove a … useful tool for investors with global investment mandate. Furthermore, additional sorting on quality metrics may markedly …

Persistent link: https://www.econbiz.de/10013006894

Is a VIX ETP an Investment in the VIX?

Clowers, R. Parker - 2015

can often mistake VIX ETPs for an investment in the VIX index itself, which is incorrect and may lead to a costly mistake …

Persistent link: https://www.econbiz.de/10013020981

Aggregate Investment and Consumption, Earnings Cyclicalities, and Stock Returns

M. Abdalla, Ahmed; Andronoudis, Dimos - 2022

Aggregate investment and consumption have heterogeneous cyclical implications on firm-level earnings and the cyclical … through which anticipated changes in investment and consumption have different effects on firm performance. Further, the …

Persistent link: https://www.econbiz.de/10014244672

Option-Implied Correlations, Factor Models, and Market Risk

Buss, Adrian - 2017

Implied correlation and variance risk premium stand out in predicting market returns. However, while the predictive ability of implied correlation lasts for up to a year, the variance risk premium predicts market returns only for one quarter ahead. Contrary to the accepted view, implied...

Persistent link: https://www.econbiz.de/10012964588

Variance and Skew Risk Premiums for the Volatility Market : The VIX Evidence

Da Fonseca, José - 2017

We extract variance and skew risk premiums from volatility derivatives in a model-free way and analyze their relationships along with volatility index and equity index returns. These risk premiums can be synthesized through option trading strategies. Using a time series of option prices on the...

Persistent link: https://www.econbiz.de/10012968712

Non-Parametric Analysis of Equity Arbitrage

Vortelinos, Dimitrios I. - 2015

Arbitrage is non-parametrically examined and empirically analyzed in US equity markets. Firstly, analyzed are the properties of arbitrage; and secondly, the factors explaining arbitrage are tested. Empirical analysis concerns a decade of intraday data of five US equity indices and is also...

Persistent link: https://www.econbiz.de/10013029266

The Returns to Carry and Momentum Strategies

Ahmerkamp, Jan Danilo - 2013

We find that global time series carry strategies (across bonds, commodities, currencies, equities and metals) can be explained by a set of lagged macroeconomic variables. The payoffs to carry strategies disappear once futures returns are adjusted for their predictability based on these...

Persistent link: https://www.econbiz.de/10013085843

What Makes the VIX Tick?

Bailey, Warren - 2014

We study minute-by-minute behavior of the VIX index and trading activity in the underlying S&P 500 options to understand the impact of macro and microeconomic forces on risk neutral volatility. VIX often increases with macroeconomic news, reflects the credibility of Fed monetary stimulus, and...

Persistent link: https://www.econbiz.de/10013065496