A Threshold Error Correction Model For Intraday Futures And Index Returns PDF Download
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Author | : Martin Martens |
Publisher | : |
Total Pages | : 34 |
Release | : 1995 |
Genre | : Futures |
ISBN | : 9780732607753 |
Download A Threshold Error Correction Model for Intraday Futures and Index Returns Book in PDF, ePub and Kindle
Author | : Klangjai Juisiri |
Publisher | : |
Total Pages | : 428 |
Release | : 1999 |
Genre | : |
ISBN | : |
Download The Lead/lag Relationship Between Index and Futures Book in PDF, ePub and Kindle
Author | : Xavier Giroud |
Publisher | : |
Total Pages | : |
Release | : 2004 |
Genre | : |
ISBN | : |
Download A Markov-Switching Equilibrium Correction Model for Intraday Futures and Stock Index Returns Book in PDF, ePub and Kindle
A considerable literature in market microstructure has analyzed the information flows between stock index futures and spot markets. Most of those studies estimate deviations from the cost-of-carry model within the framework of vector equilibrium correction models (VECM). The typical finding is that futures prices lead spot prices and are the primary source of price discovery. Purely linear models can, however, lead to fallacious or at least incomplete inference in the presence of significant nonlinearities in the return generating process. Recent research has reported evidence for nonlinearity in the distribution of stock market returns. According to this literature, their empirical distribution can be characterized by a mixture of normal distributions whose dependence is well described by a hidden Markov chain. This thesis contributes to the former field by allowing for Markovian regime switches in the cointegrated system. The empirical analysis is carried out using high-frequency data for the German and Swiss markets, i.e. two closely interrelated markets which differ substantially in terms of liquidity. This thesis consists of three major parts. In the first part, an MS-VECM is estimated for each market and tested against the linear VECM. In both cases, the linear model is strongly rejected. The Markovian chain consists of three regimes, which can be well described in terms of volatility. Price discovery differs from regime to regime, but the overall evidence is consistent with the well-documented leading role of futures markets. The MS-VECM provides additional insights into the dynamics of price discovery. Interestingly, shocks are absorbed more rapidly in regimes of high volatility. A possible explanation is provided, based on trading activity. Intraday volatility is shown to be associated with the volume of trading. Heavy trading reveals more information per unit of time and thus improves index arbitrage and informational.
Author | : Torben Gustav Andersen |
Publisher | : Springer Science & Business Media |
Total Pages | : 1045 |
Release | : 2009-04-21 |
Genre | : Business & Economics |
ISBN | : 3540712976 |
Download Handbook of Financial Time Series Book in PDF, ePub and Kindle
The Handbook of Financial Time Series gives an up-to-date overview of the field and covers all relevant topics both from a statistical and an econometrical point of view. There are many fine contributions, and a preamble by Nobel Prize winner Robert F. Engle.
Author | : Jun Ma |
Publisher | : Springer Science & Business Media |
Total Pages | : 308 |
Release | : 2013-09-24 |
Genre | : Business & Economics |
ISBN | : 1461480604 |
Download Recent Advances in Estimating Nonlinear Models Book in PDF, ePub and Kindle
Nonlinear models have been used extensively in the areas of economics and finance. Recent literature on the topic has shown that a large number of series exhibit nonlinear dynamics as opposed to the alternative--linear dynamics. Incorporating these concepts involves deriving and estimating nonlinear time series models, and these have typically taken the form of Threshold Autoregression (TAR) models, Exponential Smooth Transition (ESTAR) models, and Markov Switching (MS) models, among several others. This edited volume provides a timely overview of nonlinear estimation techniques, offering new methods and insights into nonlinear time series analysis. It features cutting-edge research from leading academics in economics, finance, and business management, and will focus on such topics as Zero-Information-Limit-Conditions, using Markov Switching Models to analyze economics series, and how best to distinguish between competing nonlinear models. Principles and techniques in this book will appeal to econometricians, finance professors teaching quantitative finance, researchers, and graduate students interested in learning how to apply advances in nonlinear time series modeling to solve complex problems in economics and finance.
Author | : Mr.Shaun K. Roache |
Publisher | : International Monetary Fund |
Total Pages | : 37 |
Release | : 2010-09-01 |
Genre | : Business & Economics |
ISBN | : 1455208876 |
Download How Commodity Price Curves and Inventories React to a Short-Run Scarcity Shock Book in PDF, ePub and Kindle
How does a commodity market adjust to a temporary scarcity shock which causes a shift in the slope of the futures price curve? We find long-run relationships between spot and futures prices, inventories and interest rates, which means that such shocks lead to an adjustment back towards a stable equilibrium. We find evidence that the adjustment is somewhat consistent with well-known theoretical models, such as Pindyck (2001); in other words, spot prices rise and then fall, while inventories are used to absorb the shock. Importantly, the pace and nature of the adjustment depends upon whether inventories were initially high or low, which introduces significant nonlinearities into the adjustment process.
Author | : Gilles Dufrénot |
Publisher | : Springer Science & Business Media |
Total Pages | : 319 |
Release | : 2012-12-06 |
Genre | : Business & Economics |
ISBN | : 1475736150 |
Download Recent Developments in Nonlinear Cointegration with Applications to Macroeconomics and Finance Book in PDF, ePub and Kindle
This book is an introductory exposition of different topics that emerged in the literature as unifying themes between two fields of econometrics of time series, namely nonlinearity and nonstationarity. Papers on these topics have exploded over the last two decades, but they are rarely ex amined together. There is, undoubtedly, a variety of arguments that justify such a separation. But there are also good reasons that motivate their combination. People who are reluctant to a combined analysis might argue that nonlinearity and nonstationarity enhance non-trivial problems, so their combination does not stimulate interest in regard to plausibly increased difficulties. This argument can, however, be balanced by other ones of an economic nature. A predominant idea, today, is that a nonstationary series exhibits persistent deviations from its long-run components (either deterministic or stochastic trends). These persistent deviations are modelized in various ways: unit root models, fractionally integrated processes, models with shifts in the time trend, etc. However, there are many other behaviors inherent to nonstationary processes, that are not reflected in linear models. For instance, economic variables with mixture distributions, or processes that are state-dependent, undergo episodes of changing dynamics. In models with multiple long-run equi libria, the moving from an equilibrium to another sometimes implies hys teresis. Also, it is known that certain shocks can change the economic fundamentals, thereby reducing the possibility that an initial position is re-established after a shock (irreversibility).
Author | : Charles M.S. Sutcliffe |
Publisher | : Routledge |
Total Pages | : 534 |
Release | : 2018-01-18 |
Genre | : Business & Economics |
ISBN | : 1351148559 |
Download Stock Index Futures Book in PDF, ePub and Kindle
The global value of trading in index futures is about $20 trillion per year and rising and for many countries the value traded is similar to that traded on their stock markets. This book describes how index futures markets work and clearly summarises the substantial body of international empirical evidence relating to these markets. Using the concepts and tools of finance, the book also provides a comprehensive description of the economic forces that underlie trading in index futures. Stock Index Futures 3/e contains many teaching and learning aids including numerous examples, a glossary, essay questions, comprehensive references, and a detailed subject index. Written primarily for advanced undergraduate and postgraduate students, this text will also be useful to researchers and market participants who want to gain a better understanding of these markets.
Author | : Marisa Faggini |
Publisher | : Springer Science & Business Media |
Total Pages | : 177 |
Release | : 2009-05-05 |
Genre | : Science |
ISBN | : 8847010837 |
Download Coping with the Complexity of Economics Book in PDF, ePub and Kindle
Throughout the history of economics, a variety of analytical tools have been borrowed from the so-called exact sciences. As Schoe?er (1955) puts it: “They have taken their mathematics and their ded- tive techniques from physics, their statistics from genetics and agr- omy, their systems of classi?cation from taxonomy and chemistry, their model-construction techniques from astronomy and mechanics, and their methods of analysis of the consequences of actions from en- neering”. The possibility of similarities of structure in mathematical models of economic and physical systems has been an important f- tor in the development of neoclassical theory. To treat the state of an economy as an equilibrium, analogous to the equilibrium of a mech- ical system has been a key concept in economics ever since it became a mathematically formalized science. Adopting a Newtonian paradigm neoclassical economics often is based on three fundamental concepts. Firstly, the representative agent who is a scale model of the whole society with extraordinary capacities, particularly concerning her - pability of information processing and computation. Of course, this is a problematic reduction as agents are both heterogeneous and bou- edly rational and limited in their cognitive capabilities. Secondly, it often con?ned itself to study systems in a state of equilibrium. But this concept is not adequate to describe and to support phenomena in perpetual motion.
Author | : Stan Hurn |
Publisher | : Edward Elgar Publishing |
Total Pages | : 264 |
Release | : 2004-01-01 |
Genre | : Business & Economics |
ISBN | : 9781782543756 |
Download Contemporary Issues in Economics and Econometrics Book in PDF, ePub and Kindle
'All of the papers share a high level of practical relevance and usefulness that is sometimes missing in economic research. Indeed, the reader will find that very issue taken up as the theme of Paul Klemperer's delightful essay, and all five papers under the heading of "econometric theory" will be extremely useful for most applied researchers. I hope that the reader will also share my feeling of gratitude toward Ralf Becker and Stan Hurn for putting together this outstanding permanent record of some of the conference's most important contributions.' - From the foreword by James D. Hamilton, University of California, San Diego, US This authoritative collection of papers covers a broad spectrum of topics in theoretical and applied economics and econometrics. The tone of the book is set by Paul Klemperer's contribution on using and abusing economic theory, in which academics are encouraged to widen the scope of their analyses beyond the confines of elegant models which sometimes lack 'real-world' detail. As a result, many of the chapters in this volume share a high degree of practical relevance.