Results 131 to 140 of about 278,525 (306)
On the Comovement of Contango and Backwardation Across Futures Commodity Markets
Journal of Futures Markets, EarlyView.ABSTRACT We examine the time‐varying nature of the comovement of the slope of the futures curve in major agricultural, metals and energy commodity futures markets in a Global Vector Autoregressive model. We find significant comovement between the slopes, indicating the co‐existence of backwardation and contango in many seemingly unrelated commodity ...
Angelo Luisi +2 more
wiley +1 more source
Applied Computer ScienceStationarity is a fundamental assumption in time series modeling that underlies reliable statistical inference and forecasting. Time series data can be found in many domains, including industry, engineering, finance, economics, epidemiology, and health ...
Apollinaire BATOURE BAMANA +3 more
doaj +1 more source
Given the importance of return volatility on a number of practical financial management decisions, the efforts to provide good real- time estimates and forecasts of current and future volatility have been extensive.
Luca Benzoni, Torben G. Andersen
core
Stochastic models in experimental economics
, 2018 Shortly after the introduction of Expected Utility Theory (EUT), economists and psychologists began publishing results that showed choices made by experimental subjects which apparently violate one or more of the EUT axioms. I discuss economists' responses to this evidence.
openaire +1 more source
Why Do Hedgers Hedge? The Role of Ambiguity
Journal of Futures Markets, EarlyView.ABSTRACT This paper investigates whether ambiguity influences hedging behavior in commodity futures markets. Using high‐frequency crude oil futures data, distinct measures of risk and ambiguity are linked to weekly hedging positions from the Commodity Futures Trading Commission (CFTC).
Fiona Höllmann
wiley +1 more source
Современная математика: Фундаментальные направленияThe converter of continual systems of relays (also known as the Preisach converter) is a wellknown model applicable to describe the hysteresis relationships of a wide range.
M. E. Semenov +4 more
doaj +1 more source
Country portfolios in open economy macro models [PDF]
This paper develops a simple approximation method for computing equilibrium portfolios in dynamic general equilibrium open economy macro models. The method is widely applicable, simple to implement, and gives analytical solutions for equilibrium ...
Alan Sutherland, Michael B. Devereux
core
Quadratic Hedging of American Options Under GARCH Models
Journal of Futures Markets, EarlyView.ABSTRACT American options are widely traded in financial markets, yet there is a scarcity of literature on hedging in incomplete markets. In this paper, we derive optimal hedging ratios and option values using Local Risk Minimization (LRM) and Global Risk Minimization (GRM) hedging strategies through dynamic programming.
Junmei Ma, Chen Wang, Wei Xu
wiley +1 more source
REDUCTION OF STATE VARIABLE DIMENSION IN STOCHASTIC DYNAMIC OPTIMIZATION MODELS WHICH USE TIME-SERIES DATA [PDF]
Statistical procedures are developed for reducing the number of autonomous state variables in stochastic dynamic optimization models when these variables follow a stationary process over time. These methods essentially delete part of the information upon
Burt, Oscar R., Taylor, C. Robert
core +1 more source
Improving Implied Volatility Forecasts for American Options Using Neural Networks
Journal of Futures Markets, EarlyView.ABSTRACT This paper explores the application of neural networks to improve pricing of American options. Focusing on both American and European options on the S&P 100 index from January 2016 to August 2023, we integrate neural networks to model the difference between market‐implied and model‐implied volatilities derived from the Black‐Scholes and Heston
Haitong Jiang, Emese Lazar, Miriam Marra
wiley +1 more source