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Borsa Istanbul ReviewUsing the panel-data approach with a sample of emerging countries, this study examines the relationship between exchange-rate movements from 2011 to 2022, on the one hand, and sovereign debt credit default swap (CDS) premiums and market volatility, on ...
Alan T. Wang, Chin-Chia Liang
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Measurement errors in GDP and forward-looking monetary policy: The Swiss case [PDF]
This paper analyzes forward-looking rules for Swiss monetary policy in a small structural VAR consisting of four variables. First, the paper looks at the ex ante inflation-output-growth volatility trade-off for a forward-looking policy aiming at a convex
Jordan, Thomas J. +3 more
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THE TERM STRUCTURE OF IMPLIED FORWARD VOLATILITY: RECOVERY AND INFORMATIONAL CONTENT IN THE CORN OPTIONS MARKET [PDF]
Options with different maturities can be used to generate volatility estimates for non-overlapping future time intervals. This paper develops the term structure of volatility implied by corn futures options, and evaluates the informational content of the
Egelkraut, Thorsten M. +2 more
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The Behaviour of the Equity Yield and Its Relation with the Bond Yield: The Role of Inflation
International Journal of Financial Studies, 2018 Understanding the behaviour of the equity yield and its relation to the bond yield is important for portfolio managers and those engaged in modelling the interaction between asset classes. During the mid-1900s, the equity yield—which was previously
David G. McMillan
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Forward Hedging Under Price and Production Risk of Wheat [PDF]
This paper estimates optimal hedging ratios for a Finnish spring wheat producer under price and yield risk. The forward contract available for hedging fixes the price and quantity at the time of sowing for a delivery at harvest. Autoregressive models are
Pietola, Kyosti, Xing, Liu
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Finite dimensional Markovian realizations for stochastic volatility forward rate models [PDF]
We consider forward rate rate models of HJM type, as well as more general infinite dimensional SDEs, where the volatility/diffusion term is stochastic in the sense of being driven by a separate hidden Markov process.
Björk, Tomas +2 more
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The impact of forward trading on the spot power price volatility with Cournot competition [PDF]
In this paper, we analyze the influence of forward trading on the volatility of spot power prices, in models where forward contracts are strategic tools used by energy producers to obtain profit security.
Agnieszka Wylomanska, Sandro Sapio
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Forward-looking disclosure and corporate reputation as mechanisms to reduce stock return volatility
حسابداری و شفافیت مالیPurpose: The purpose of this research is to investigate the relationship between the disclosure of prospective financial information and the volatility of stock returns of companies listed on the Tehran Stock Exchange, as well as to investigate the ...
Mohammad Kiamehr +2 more
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Mean-Reverting Stochastic Processes, Evaluation of Forward Prices and Interest Rates [PDF]
We consider mean-reverting stochastic processes and build self-consistent models for forward price dynamics and some applications in power industries. These models are built using the ideas and equations of stochastic differential geometry in order to ...
Aguero-Granados, M. A., Makhankov, V. G.
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