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Time Varying Risk Premia In Futures Markets
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Book Synopsis Time Varying Risk Premia in Futures Markets by : Mr.Manmohan S. Kumar
Download or read book Time Varying Risk Premia in Futures Markets written by Mr.Manmohan S. Kumar and published by International Monetary Fund. This book was released on 1990-12-01 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 applied to futures prices in a variety of commodity markets. The results suggest that for several commodities there is evidence of a time varying risk premium, particularly in futures contracts maturing six months ahead. The implications of the study for the efficiency of the futures markets and the costs of using these markets for hedging are also noted.
Book Synopsis Time Varying Risk Premia in Futures Markets by : Graciela Kaminsky
Download or read book Time Varying Risk Premia in Futures Markets written by Graciela Kaminsky and published by . This book was released on 2006 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 applied to futures prices in a variety of commodity markets. The results suggest that for several commodities there is evidence of a time varying risk premium, particularly in futures contracts maturing six months ahead. The implications of the study for the efficiency of the futures markets and the costs of using these markets for hedging are also noted.
Book Synopsis Risk Premia in Futures Markets by : Jisoo Yoo
Download or read book Risk Premia in Futures Markets written by Jisoo Yoo and published by . This book was released on 1989 with total page 164 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Rational Expectations Model of Time Varying Risk Premia in the Commodities Futures Markets : Theory and Evidence by : S. E. Beck
Download or read book Rational Expectations Model of Time Varying Risk Premia in the Commodities Futures Markets : Theory and Evidence written by S. E. Beck and published by . This book was released on 1990 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Time-Varying Risk Premia, Volatility, and Technical Trading Rule Profits by : Bong-Chan Kho
Download or read book Time-Varying Risk Premia, Volatility, and Technical Trading Rule Profits written by Bong-Chan Kho and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper re-examines the efficiency of foreign currency futures markets by evaluating the role of time-varying risk premia and volatility in explaining technical trading rule profits. The results show that large parts of the technical rule profits can be explained by the time-varying risk premia estimated from a general model for the conditional CAPM: The bootstrap distributions for the profits under the null model average one-third to one-half of the actual profits and enclose the actual profits well within the 90% confidence intervals. Time-varying conditional volatility explains an additional 10% of the profits.
Book Synopsis The Information Content of Interest Rate Futures and Time-Varying Risk Premia by : Sotiris K. Staikouras
Download or read book The Information Content of Interest Rate Futures and Time-Varying Risk Premia written by Sotiris K. Staikouras and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The objective of the present study is to examine the price discovery hypothesis in the short sterling futures market. The analytical framework employed, to examine the interaction between spot and futures rates, is based on a VAR cointegration model. The current research takes into account the necessary conditions, when testing the unbiasedness of the futures market, as well as the issues of risk neutrality and the rational use of all available and relevant information. The paper finds that the price discovery hypothesis holds for up to seven weeks prior to maturity of the futures contract. Furthermore, an examination of the sample period over which efficiency does not hold, provides evidence for the presence of time-varying risk premia. The findings also suggest that the premium and the expected spot change volatility are statistically significant, with the former being slightly lower than the latter.
Book Synopsis Time varying risk premia in futures markets by : Graciela; Kumar Kaminsky (Manmohan S.)
Download or read book Time varying risk premia in futures markets written by Graciela; Kumar Kaminsky (Manmohan S.) and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Time-varying Risk Premia in Spot Prices, Futures Prices and the Basis by : Antonios Antoniou
Download or read book Time-varying Risk Premia in Spot Prices, Futures Prices and the Basis written by Antonios Antoniou and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Risk Premia in Carbon and Energy Futures Markets by : Christel Merlin Kuate Kamga
Download or read book Risk Premia in Carbon and Energy Futures Markets written by Christel Merlin Kuate Kamga and published by . This book was released on 2016 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose an approach to estimate and explain the risk premium in carbon and energy futures markets. First, we develop a parsimonious and robust state space model that allows for a time-varying risk premium and apply it to CO2, oil, and gas futures prices. We find that the risk premia are significantly different from zero, strongly time-varying, and that they differ considerably across markets. The CO2 risk premium is mostly positive whereas the oil and natural gas risk premia tend to fluctuate from positive to negative. Next, we extend the existing literature by explaining the risk premia with several macro-financial variables. We show that interest rate, implied volatility, credit risk, and liquidity are important determinants. Moreover, we provide evidence that announcements regarding the EU emissions trading scheme lower the CO2 risk premium and thereby contribute to more transparency.
Book Synopsis Time-Varying Risk Premiums and Term Premiums in Commodity Futures by : Denis B. Chaves
Download or read book Time-Varying Risk Premiums and Term Premiums in Commodity Futures written by Denis B. Chaves and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Term premiums, defined as the excess return of long-dated contracts over short-dated contracts, in commodity futures are strongly predictable, both in the time series and in the cross section, by roll yield spreads. Strategies that exploit this predictability show sizable Sharpe ratios and are uncorrelated with strategies that exploit predictability in risk premiums using the basis in futures prices, that is, use contango and backwardation conditions in futures market to develop their strategies.
Book Synopsis Sources of Time Varying Risk and Risk Premia in U.S. Stock and Bond Markets by : Bala Arshanapalli
Download or read book Sources of Time Varying Risk and Risk Premia in U.S. Stock and Bond Markets written by Bala Arshanapalli and published by . This book was released on 2003 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the sources of time-varying risk and risk premia for both the U.S. stock and bond markets. Although a growing literature has emerged that examines the return and volatility characteristics of the U.S. stock and bond markets separately, little work has appeared that models these markets jointly. This paper proposes a model that provides evidence concerning the sources of time varying risk and risk premia in the markets that considers both markets simultaneously. The model captures the change in the risk premium to each market's own volatility risk as well as to the covariance risk for specific events. We test for the effects of macroeconomic news on time-varying volatility as well as time-varying covariance, and whether such news induces time-varying risk premia in either of the markets. We find that stocks, as opposed to bonds exhibit a change in the risk premium on variance risk on PPI announcement dates. There is also evidence of a change in the bond risk premium on covariance risk on macroeconomic news announcement dates. Employment reports and PPI releases appear as events inducing time-varying conditional variance for stock, Treasury Notes, as well as Treasury Bond returns. Finally, the results do not support the conjecture that conditional covariance of stock and bond returns falls on announcement days.
Book Synopsis Two Essays on Time-varying Risk Premia and Trading Rule Profits by : Bong-Chan Kho
Download or read book Two Essays on Time-varying Risk Premia and Trading Rule Profits written by Bong-Chan Kho and published by . This book was released on 1994 with total page 320 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Estimation of Time Varying Risk Premia for the Nikkei 225 Stock Index Futures Contracts by : Jungmann Lee
Download or read book Estimation of Time Varying Risk Premia for the Nikkei 225 Stock Index Futures Contracts written by Jungmann Lee and published by . This book was released on 1997 with total page 116 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Conditional Time-varying Interest Rate Risk Premium by : Alan C. Hess
Download or read book Conditional Time-varying Interest Rate Risk Premium written by Alan C. Hess and published by . This book was released on 2003 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Re-examining the Futures Market Efficiency Using a New Approach in the Presence of a Time-Varying Risk Premium by : Duminda Kuruppuarachchi
Download or read book Re-examining the Futures Market Efficiency Using a New Approach in the Presence of a Time-Varying Risk Premium written by Duminda Kuruppuarachchi and published by . This book was released on 2014 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: We re-examine the market efficiency of commodity futures using a new approach that accounts for both time-varying risk premium and conditional heteroscedasticity of spot prices. The conventional market efficiency tests so far in the literature are based on either risk neutral or constant risk premium assumptions as such they are biased towards the rejection of the market efficiency hypothesis especially for commodity futures. The time varying risk premium is estimated using a state space model with a modified Kalman filter. Using a Monte Carlo simulation, we show that the proposed test produces robust and superior results under varying market conditions compared to the conventional approaches. By employing the proposed test we analyse the efficiency of crude oil, corn, copper and gold futures and find that gold futures is inefficient throughout the sample period 2000-2011 while others are efficient especially after the global financial crisis (GFC) in 2008. We also find significant changes in the underlying risk premiums due to the GFC. We extend the analysis to a comprehensive sample of 85 commodities traded on 16 exchanges worldwide and find that efficiency and risk premiums vary across the four market sectors while GFC has caused to increase both efficiency and risk premiums in all markets other than precious metals.
Book Synopsis Diverse Beliefs and Time Variability of Risk Premia by : Mordecai Kurz
Download or read book Diverse Beliefs and Time Variability of Risk Premia written by Mordecai Kurz and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil by : Christiane Baumeister
Download or read book A General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil written by Christiane Baumeister and published by . This book was released on 2016 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt: Futures markets are a potentially valuable source of information about price expectations. Exploiting this information has proved difficult in practice, because time-varying risk premia often render the futures price a poor measure of the market expectation of the price of the underlying asset. Although this expectation in principle may be recovered by adjusting the futures price by the estimated risk premium, a common problem is that there are as many measures of the market expectation as there are estimates of the risk premium. We propose a general solution to this problem that allows us to select the most accurate estimate of the expectation for any set of risk premium estimates. We illustrate this approach by solving the long-standing problem of how to estimate the market expectation of the price of crude oil. We provide a new measure of oil price expectations that is substantially more accurate than the alternatives and more economically plausible. Our analysis has implications for the estimation of economic models of energy-intensive durables, for oil price forecasting and for the measurement of oil price shocks.
