Results 161 to 170 of about 7,235,439 (370)
On the spot-futures no-arbitrage relations in commodity markets
, 2018 In commodity markets the convergence of futures towards spot prices, at the expiration of the contract, is usually justified by no-arbitrage arguments.
Aïd, René +2 more
core
Correction: Fanelli (2024). Mean-Reverting Statistical Arbitrage Strategies in Crude Oil Markets. Risks 12: 106 [PDF]
Viviana Fanelli
openalex +1 more source
Price Discovery in Bitcoin ETF Market
Financial Review, EarlyView.ABSTRACT In this study, we explore price discovery across the following three Bitcoin markets: spot, futures, and exchange‐traded funds (ETFs). Employing the fractionally cointegrated vector autoregressive (FCVAR) model, we estimate price discovery in each market using minute‐level price data from October 19, 2021, the launch date of the first US ...
Kiana Kia +4 more
wiley +1 more source
Has Financial Innovation Made the World Riskier? CDS, Regulatory Arbitrage and Systemic Risk
, 2012 Tanju Yorulmazer
openalex +1 more source
Limits of Arbitrage and Primary Risk Taking in Derivative Securities
, 2021 Meng Tian, Liuren Wu
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Skew Premiums Around Earnings Announcements
Financial Review, EarlyView.ABSTRACT We examine skew premiums in equity options around earnings announcements. We use the realized returns to delta‐neutral risk reversal option spreads as a proxy for the skew premiums. We find skew premiums are economically significant around earnings announcements and are not explained by changes in variance risk premiums.
Thaddeus Neururer, George Papadakis
wiley +1 more source
Testing for Contagion in International Financial Markets: To See More, Go Higher
Financial Review, EarlyView.ABSTRACT Traditional measures of financial contagion rely on correlation shifts, overlooking higher moments such as skewness and kurtosis. We examine contagion during two major financial crises, incorporating lower‐ and higher‐moment measures. We analyze stock market returns from 22 major markets at different frequencies, offering a global perspective ...
Simeon Coleman, Vitor Leone
wiley +1 more source
Uneven Product Diversification: Explaining the Lag of Agricultural Economies
International Economic Review, EarlyView.ABSTRACT This paper documents that agricultural sectors diversify less than other manufacturing activities. A simple model shows that this difference can contribute to welfare divergence in a way that is qualitatively different to what results when uneven growth happens in the intensive margin.
Guzmán Ourens
wiley +1 more source
The tax system and the financial crisis
PSL Quarterly Review, 2011 This paper investigates the effects of the tax system on the economic factors that triggered the financial crisis. We examine three cases in which the tax regime interacted with these factors, reinforcing them.
Alessandra Sanelli +4 more
doaj
Arbitrage Equilibrium, Invariance, and the Emergence of Spontaneous Order in the Dynamics of Bird-like Agents. [PDF]
Entropy (Basel), 2023 Sivaram A, Venkatasubramanian V.
europepmc +1 more source