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2 edition of Time varying risk premia in futures markets found in the catalog.

Time varying risk premia in futures markets

International Monetary Fund.

Time varying risk premia in futures markets

by International Monetary Fund.

  • 189 Want to read
  • 2 Currently reading

Published by International Monetary Fund in Washington, D.C .
Written in English


Edition Notes

Statementprepared by Graciela Kaminsky and Manmohan S. Kumar.
SeriesIMF working paper -- WP/90/116
ContributionsKaminsky, Graciela, Kumar, Manmohan S., International Monetary Fund. Research Dept.
The Physical Object
Pagination26 p. --
Number of Pages26
ID Numbers
Open LibraryOL17507776M

"Futures Trading Activity and Stock Price Volatility", (with Paul Seguin) Journal of Finance, December "Systematic Risk, Hedging Pressure, and Risk Premiums in Futures Markets" Review of Financial Studies, (Volume 5, number 4). "Time Varying Risk Premia and Forecastable Returns in Futures Markets" (with Kalok Chan). The Financialization of the Term Structure of Risk Premia in Commodity Markets. Edouard Jaeck. 1 Jan | SSRN Electronic Journal Time-Varying Spot and Futures Oil Price Dynamics. Guglielmo Maria Caporale, Davide Ciferri and Alessandro Girardi The World Scientific Handbook of Futures Markets. Metrics. Downloaded 62 times History.

Variance and price (return) risk premia in agricultural markets are weakly correlated, and the correlation depends on the sign of the returns. The latter finding suggests that the variance risk is unspanned by commodity futures, i.e., it is an independent source of risk. Investor sentiment and feedback trading: Evidence from the exchange-traded fund markets. International Review of Financial Analysis 20 () – Contents lists available at ScienceDirect International Review of Financial Analysis I Download PDF. Tweet. KB Sizes 0 Downloads 0 Views.

Wachter, Jessica A., , Can time-varying risk of rare disasters explain aggregate stock market volatility?, Journal of Fina { Wei, Jason Z., , A simple approach to bond option pricing, Journal of Futures Markets: Futures, Options, and Other Derivative Produ { returns. This suggests that time-varying risk premia in commodities could be driven by macro-economic forces that determine asset allocation. Gorton and Rouwenhorst () argue that commodity futures, as an asset class, provide a risk-return pro–le that is comparable to that of equities.


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Time varying risk premia in futures markets by International Monetary Fund. Download PDF EPUB FB2

Downloadable. Significant time-varying risk premia exist in the foreign currency futures basis, and these risk premia are meaningfully correlated with common macroeconomic risk factors from equity and bond markets.

The stock index dividend yield and the bond default and term spreads in the U.S. markets help forecast the risk premium component of the foreign currency futures basis. Santa‐Clara and Yan () also find evidence for time‐varying jump risk premia.

It would be interesting to develop diagnostics based on, for example, the slope of the implied volatility curve, to identify these time‐varying premia, and to further examine their by:   Analysis of liquidity and risk premia in New Zealand electricity futures • Market liquidity has been increasing over time.

• Maximum bid-offer spread policy associated with higher liquidity structural breaks. • Time-varying premia are driven by potentially inefficient behaviour. • Liquidity risk affects risk premia in longer-dated : Fergus Bevin-McCrimmon, Ivan Diaz-Rainey, Matthew McCarten, Greg Sise.

In this study, a three-factor model of crude oil prices is estimated, which incorporates a time-varying market price of risk. The model is able to accurately capture the term structure of futures Author: Perry Sadorsky.

"Conditional variance and the risk premium in the foreign exchange market," Journal of International Economics, Elsevier, vol. 19(), pagesAugust. Bessembinder, Hendrik & Chan, Kalok, "Time-varying risk premia and forecastable returns in futures markets," Journal of Financial Economics, Elsevier, vol.

32(2), pagesOctober. explained by the premia due to pervasive sources of risk in the equity markets using theTime-varying betas and risk premia in the Evidence of risk premia in foreign currency futures.

Time varying risk premia in futures markets book contracts. Further, we develop models to explain risk premia that include a range of risk factors which we categorise as either statistical, physical market, production cost, investor behaviour and liquidity variables.

From this analysis we document significant time varying premia which are driven by potentially inefficient behaviour. There is a huge literature on the existence of risk premia in the foreign exchange market and its influence in explaining the divergence between the forward exchange rate and the subsequently realised spot exchange rate.

In this paper, we seek to model directly the risk premium as a mean-reverting diffusion process. B.-C. KhoTime-varying risk premia, volatility, and technical trading rule profits: evidence from foreign currency futures markets J. Financ.

Econ., 41 (2) (), pp. Chris Bardgett, Elise Gourier, Markus Leippold, Inferring volatility dynamics and risk premia from the S&P and VIX markets, Journal of Financial Economics, /o, ().

Crossref. Get this from a library. Time Varying Risk Premia in Futures Markets. [Graciela Laura Kaminsky; International Monetary Fund.] -- This paper undertakes an econometric investigation into the presence of risk premium in commodity futures markets.

The statistical tests are derived from a formal model of asset pricing and are. E cient Markets hypothesis outlined before, and it implies that stock price movements can only be attributed to 1) news on future corporate cash ows, 2) changes in \risk premia" - the amount of extra return that investors demand to hold risk (we will come back to this in.

Campbell Russell "Cam" Harvey (born J ) is a Canadian economist, known for his work on asset allocation with changing risk and risk premiums and the problem of separating luck from skill in investment management.

He is currently the J. Paul Sticht Professor of International Business at Duke University's Fuqua School of Business in Durham, North Carolina, as well as a research. AbstractIn this paper, we examine whether risk premiums are significant in explaining the deviations from the uncovered interest rate parity (UIP) condition in an emerging Indian currency futures market.

In particular, we explore the unbiasedness of futures quotes as a predictor of the future spot exchange rate to understand the forward premium anomaly condition.

While there is some predictability over the long-term, the extent to which this is due to rational time-varying risk premia as opposed to behavioral reasons is a subject of debate.

In their seminal paper, Fama, Fisher, Jensen, and Roll () propose the event study methodology and show that stock prices on average react before a stock split. An Empirical Analysis of Risk Premia in Futures Markets. Journal of Futures Markets, 13(6), – CrossRef Google Scholar.

Bessembinder, H., & Chan, K. Time-Varying Risk Premia and Forecastable Returns in Futures Markets. Journal of Financial Economics, 32 Buy this book on publisher's site; Reprints and Permissions. Abstract. We provide evidence that financial market risk perceptions are important drivers of economic fluctuations.

We introduce a novel measure of risk perceptions: the price of volatile stocks (PVS t), defined as the book-to-market ratio of low-volatility stocks minus the book-to-market ratio of high-volatility t is high when perceived risk directly measured from surveys and. Mark, Nelson C., "Time Varying Betas and Risk Premia in the Pricing of Forward Foreign Exchange Contracts," Journal of Financial Econom (December ): Kaminsky, Graciela and Rodrigo Peruga,"Can a Time-Varying Risk Premium Explain Excess Returns in the Forward Market for Foreign Exchange," Journal of International.

Vladimir Petrov, Anton Golub, Richard Olsen, Instantaneous Volatility Seasonality of High-Frequency Markets in Directional-Change Intrinsic Time, Journal of Risk and Financial Management, /jrfm, 12, 2, (54), ().

"A Capital Asset Pricing Model with Time Varying Covariances," (with T.P. Bollerslev and J.M. Wooldridge), Journal of Political Economy 96 (): "Estimation of Time Varying Risk Premia in the Term Structure: the ARCH-M Model," (with David Lilien and Russell Robins), Econometrica 55 ():.

h or v theheckmanbindery,inc. northmanchester,indiana justfontslot hcc1w? h hcc1w hcc7w title r julty-rking 19paper 7no b no cop.2 library urbana dmf bindingcopy periodical custom standard economyd thesis book .using individual stocks.

If country-based are similar to stock-based risk premia it is easier and less expensive to implement portfolio based investment passive strategies using futures or ETFs than constructing stock-based factor portfolios.2 Current research suggests that the distribution of asset returns is time varying characterised by.Part II: Bond Markets and risk premia.

Bond yields moved lower during much lower in the first half of the year before rising (but not much) from the beginning of September. No need to rehearse those astonishing facts about global bond markets and their yields or rather the lack thereof.