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  1. Realized Illiquidity
    Author: Lacava, Demetrio; Ranaldo, Angelo; Santucci de Magistris, Paolo
    Published: 2022
    Publisher:  SSRN, [S.l.]

    We study the theoretical and empirical properties of a simple measure of market illiquidity, namely the realized Amihud, which is defined as the ratio between the realized volatility and trading volume and which refines the popular price impact... more

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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    We study the theoretical and empirical properties of a simple measure of market illiquidity, namely the realized Amihud, which is defined as the ratio between the realized volatility and trading volume and which refines the popular price impact measure proposed by Amihud (2002). In our model, both price volatility and market liquidity are assumed to follow stochastic processes in continuous time. In this setting, characterized by stochastic volatility and liquidity, we prove that the realized Amihud provides a precise measurement of the inverse of integrated liquidity over fixed-length periods (e.g., a day, a week, a month). We consider a number of alternative econometric specifications, hence highlighting the main dynamic and distributional properties of the realized Amihud, including jumps, clustering, and leverage effects

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    Series: Swiss Finance Institute Research Paper ; No. 22-90
    Subjects: Liquidity; Stochastic Volatility; Trading Volume; Amihud; Jumps
    Other subjects: Array
    Scope: 1 Online-Ressource (42 p)
    Notes:

    Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 21, 2022 erstellt
  2. Pricing of electricity swaps with geometric averaging
    Author: Kemper, Annika; Schmeck, Maren Diane
    Published: [2023]
    Publisher:  Center for Mathematical Economics (IMW), Bielefeld University, Bielefeld, Germany

    In this paper, we provide empirical evidence on the market price of risk for delivery periods (MPDP) of electricity swap contracts. As introduced by Kemper et al. (2022), the MPDP arises through the use of geometric averaging while pricing... more

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    In this paper, we provide empirical evidence on the market price of risk for delivery periods (MPDP) of electricity swap contracts. As introduced by Kemper et al. (2022), the MPDP arises through the use of geometric averaging while pricing electricity swaps in a geometric framework. In preparation for empirical investigations, we adjust the work by Kemper et al. (2022) in two directions: First, we examine a Merton type model taking jumps into account. Second, we transfer the model to the physical measure by implementing mean-reverting behavior. We compare swap prices resulting from the classical arithmetic (approximated) average to the geometric weighted average. Under the physical measure, we discover a decomposition of the swap's market price of risk into the classical one and the MPDP. In our empirical study, we analyze two types of models, characterized either by seasonality in the delivery period or by a term-structure effect, and identify the resulting MPDP in both cases.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/278466
    Series: Working papers / Center for Mathematical Economics ; 676 (March 2023)
    Subjects: Electricity Swaps; Delivery Period; MPDP for Diffusion and Jump Risk; Mean-Reversion; Jumps; Samuelson Effect; Seasonality
    Scope: 1 Online-Ressource (circa 44 Seiten), Illustrationen
  3. News as sources of jumps in stock returns
    evidence from 21 million news articles for 9000 companies
    Author: Jeon, Yoontae; McCurdy, Thomas H.; Zhao, Xiaofei
    Published: [2021]
    Publisher:  [University of Toronto - Rotman School of Management], [Toronto]

    Material news events can be potentially important sources of jumps in stock returns. We collect 21 million news articles associated with more than 9,000 publicly-traded companies and use textual analyses to derive measures to summarize the news. We... more

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    Material news events can be potentially important sources of jumps in stock returns. We collect 21 million news articles associated with more than 9,000 publicly-traded companies and use textual analyses to derive measures to summarize the news. We find that stock return jumps (including time-variation in jump-size distributions and jump intensity) are significantly related to news flow frequency and content and those effects increase substantially over the last few decades. The sensitivity of jump probability to news is stronger for firms with higher media visibility, analyst coverage, and institutional ownership. This sensitivity also varies across different news categories.The primary working dataset based on Factiva news can be downloaded using this link: www.dropbox.com/s/62lt6uq1t4n6gcr/MainData_Factiva_Public.zip

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: [Rotman School of Management working paper ; no. 3911398]
    Subjects: Jumps; News flow; Textual analysis; News content; Sentiment
    Scope: 1 Online-Ressource (circa 66 Seiten), Illustrationen
  4. Pricing American options with jumps in asset and volatility
    Author: Taruvinga, Blessing; Kang, Boda; Nikitopoulos, Christina Sklibosios
    Published: [2019]
    Publisher:  Quantitative Finance Research Centre, University of Technology Sydney, Sydney

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Edition: Updated January 2019
    Series: Research paper / Quantitative Finance Research Centre ; 394 (October 2018)
    Subjects: American options; Method of Lines; stochastic interest rate; Jumps; Greeks
    Scope: 1 Online-Ressource (circa 42 Seiten), Illustrationen
  5. Jump contagion among stock market indices
    evidence from option markets
    Author: Boswijk, Herman Peter; Laeven, Roger J. A.; Lalu, Andrei; Vladimirov, Evgenii
    Published: [2021]
    Publisher:  Tinbergen Institute, Amsterdam, The Netherlands

    This paper explores the contagious propagation of jumps among international stock market indices by exploiting a rich panel of stock and options data. We propose a multivariate option pricing model designed to allow for, but not superimpose, time and... more

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    This paper explores the contagious propagation of jumps among international stock market indices by exploiting a rich panel of stock and options data. We propose a multivariate option pricing model designed to allow for, but not superimpose, time and space amplification of jumps in option markets. We develop a semi-parametric estimation procedure employing a continuum of moments conditions in GMM with implied states. We introduce a partial-information approach to reduce the computational complexity arising in the multivariate setting, derive the asymptotic properties of our estimators, and analyze their finite-sample performance. Our empirical results reveal evidence of jump contagion in option markets, both from the US to Europe and vice versa, with the US leading the UK and standing on equal footing with Germany. We illustrate the importance of capturing jump contagion for risk management, option pricing, and scenario analysis.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/248770
    Series: Array ; TI 2021, 086
    Subjects: Jumps; Option markets; Crisis; Transmission; Spatio-temporal models; C-GMM
    Scope: 1 Online-Ressource (circa 64 Seiten), Illustrationen
  6. Exchange rate jumps and geopolitical risks
    Author: Gillas, Konstantinos Gkillas; Gupta, Rangan; Konstantatos, Christoforos; Vortelinos, Dimitrios I.
    Published: [2021]
    Publisher:  Department of Economics, University of Pretoria, Pretoria, South Africa

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 11159/7060
    Series: Department of Economics working paper series / Department of Economics, University of Pretoria ; 2021, 71 (October 2021)
    Subjects: Causality; Quantile; Jumps; Foreign Exchange; Geopolitical risks
    Scope: 1 Online-Ressource (circa 46 Seiten), Illustrationen
  7. Modeling the volatility of returns on commodities: an application and empirical comparison of GARCH and SV models
    Author: Fernández Prada Saucedo, Jean Pierre; Rodriguez, Gabriel
    Published: febrero, 2020
    Publisher:  Departamento de Economía, Pontificia Universidad Católica del Perú, Lima, Perú

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    Source: Union catalogues
    Language: English
    Media type: Book
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    Series: Documento de trabajo / Departamento de Economía, PUCP ; no 484
    Subjects: Returns; Volatility; GARCH; Stochastic Volatility; Commodities; Bayesian Estimation; Fat Tails; Jumps; Leverage
    Scope: 1 Online-Ressource (circa 42 Seiten), Illustrationen