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Comparing different economic linkages among commodity futures
Chng, Michael T. - 2010
Gasoline (GA) and kerosene (KO) are extracted from crude oil (CO), such that the three fuel commodities share a chemical link. On the other hand, GA also shares an industrial link with natural rubber (NR) and palladium (PA) as complementary commodities that are heavily consumed by the automobile...
Persistent link: https://www.econbiz.de/10009484127
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There is something about pairs trading
Chng, Michael - 2009
The process of pairs trading involves exhaustively matching and ranking pairwise stocks based on some prespecified measure of closeness; e.g., correlation, cointegration, sum-of-squared price difference. Pairs trading is popular for various reasons. It is simple to follow and execute. The...
Persistent link: https://www.econbiz.de/10009484026
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Common industry exposure in seemingly unrelated commodities
Chng, Michael T. - 2009
We propose and document robust evidence of cross-market return, volatility, and volume interactions among futures … consumed by Japan's automobile industry. Our VAR results indicate that (i) for shorter dynamics, NR and GA volatility both … influence AL volatility; GA volume affects NR volatility and volume; the GA market is immune to both NR and AL trading …
Persistent link: https://www.econbiz.de/10009484028
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Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield : do fish jump?
Ewald, Christian; Zou, Yihan - In: European journal of operational research : EJOR 294 (2021) 2, pp. 801-815
Persistent link: https://www.econbiz.de/10012595911
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Forecasting the short end of the term structure of interest rates
Graham, Austin - 2010
Master of Arts
Persistent link: https://www.econbiz.de/10009463981
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Does Financial Growth lead Economic Performance in India? Causality-Cointegration using Unrestricted Vector Error Correction Models
Kamat, Manoj; Kamat, Manasvi - Volkswirtschaftliche Fakultät, … - 2007
infrastructure led economic growth”. Finance is found to be a leading sector only in the short-term link in Granger causality tests …
Persistent link: https://www.econbiz.de/10005260232
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DeepVaR : a framework for portfolio risk assessment leveraging probabilistic deep neural networks
Fatouros, Georgios; Makridis, Georgios; Kotios, Dimitrios; … - In: Digital finance : smart data analytics, investment … 5 (2023) 1, pp. 29-56
Persistent link: https://www.econbiz.de/10014251567
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Post-Independence India: A Case of Finance-Led Industrialization?
Bell, Clive; Rousseau, Peter L. - Vanderbilt University Department of Economics - 2000
This paper examines whether financial intermediaries have played a leading role in influencing India's economic performance. After describing the evolution and functions of the financial sector, we construct a set of vector autoregressive and vector error correction models to evaluate the...
Persistent link: https://www.econbiz.de/10005034030
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Equity market linkage and multinational trade accords: The case of NAFTA
Darrat, A. F.; Zhong, M. S. - 2005
This paper examines the impact of multinational trade accords on the degree of stock market linkage using NAFTA as a case study. Besides liberalizing trade among the U.S., Canada and Mexico, NAFTA has also sought to strengthen linkage among stock markets of these countries. If successful, this...
Persistent link: https://www.econbiz.de/10009447946
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Foreign Portfolio Investment and the Financial Constraints of Small Firms
Knill, April Thompson - 2005
find that the volatility of foreign portfolio investment is significantly negatively associated with the probability of …
Persistent link: https://www.econbiz.de/10009450574