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Dynamic Futures Hedging with a Vector Error Correction Markov Switching Multifractal Model

Alausa, Waleem - 2014

(VEC-MSM) model, and examines its hedging effectiveness using conditional VaR coverage. The VEC-MSM model introduces an …

Persistent link: https://www.econbiz.de/10013044287

How dynamic hedging affects stock price movements : evidence from German option and certificate markets

Fischer, Georg - 2019

We examine the impact of dynamic hedging demand of German option and discount certificate markets on the … market, a structured financial product with a concave payoff profile, asking whether dynamic hedging by certificate issuers … induces negative return autocorrelation in stock markets. We find empirical evidence that the hedging demand of option issuers …

Persistent link: https://www.econbiz.de/10011960804

Explaining co-movements between equity and CDS bid-ask spreads

Marra, Miriam - In: Review of quantitative finance and accounting 49 (2017) 3, pp. 811-853

Persistent link: https://www.econbiz.de/10011797542

Credit Spreads and State-Dependent Volatility : Theory and Empirical Evidence

Perrakis, Stylianos - 2017

We generalize the asset dynamics assumptions of Leland (1994b) and Leland and Toft (1996) to a much richer class of models. By assuming a stationary corporate debt structure with constant principal, coupon payment and average maturity through continuous retirement and refinancing as long as the...

Persistent link: https://www.econbiz.de/10012973386

Peso-Dollar forward market analysis : explaining arbitrage opportunities during the financial crisis

Hernández, Juan R. - 2014

Using a vector error correction model I test whether shocks in the funding liquidity conditions in the U.S. and Europe separately explain deviations from the covered interest parity (CIP) between the U.S. Dollar and the Mexican Peso. I find that: (1) Apparent deviations from the CIP seem to be...

Persistent link: https://www.econbiz.de/10010370903

A Decomposition of Empirical Distributions with Applications to the Valuation of Derivative Assets

Bellalah, Mondher - 2016

The selection of an appropriate parameterization of data is a fundamental step in a majority of empirical research effort. Likewise, detecting or estimating features of non-stationarities in data sequences is a critical point in conducting credible research that uses data for inference. In this...

Persistent link: https://www.econbiz.de/10013004317

Liquid Staking : Basis Determinants and Price Discovery

Scharnowski, Stefan; Jahanshahloo, Hossein - 2022

price difference between a derivative staking token and its underlying cryptocurrency. The absolute value of the basis is …

Persistent link: https://www.econbiz.de/10013403348

Levered returns and capital structure imbalances

Ippolito, Filippo; Steri, Roberto; Tebaldi, Claudio - 2017

We revisit the relation between equity returns and financial leverage through the lens of a trade-off model with costly capital structure rebalancing. The model provides a “lookalike” Modigliani-Miller equation that predicts that expected equity returns depend on whether a firm's leverage is...

Persistent link: https://www.econbiz.de/10011899835

Systematic Risk, Debt Maturity, and the Term Structure of Credit Spreads

Chen, Hui - 2020

We document several facts about corporate debt maturity: (1) debt maturity is pro-cyclical; (2) higher-beta firms tend to have longer debt maturity; (3) shorter maturity amplifies the sensitivity of credit spreads to aggregate shocks. We build a dynamic capital structure model that explains...

Persistent link: https://www.econbiz.de/10012857300

Levered returns and capital structure imbalances

Ippolito, Filippo; Steri, Roberto; Tebaldi, Claudio; … - 2022

We revisit the relation between equity returns and financial leverage through the lens of a dynamic trade-off model with costly capital structure rebalancing. The model predicts that expected equity returns depend on whether a firm's leverage is above or below its target leverage. We provide...

Persistent link: https://www.econbiz.de/10013375176