Many financial data series are found to exhibit stochastic volatility. Some of these time series are constructed from contracts with time-varying maturities. In this paper, we focus on index futures, an important subclass of such time series. We propose a bivariate GARCH model with the maturity effe
Maturity effects in energy futures
β Scribed by Apostolos Serletis
- Book ID
- 103525767
- Publisher
- Elsevier Science
- Year
- 1992
- Tongue
- English
- Weight
- 709 KB
- Volume
- 14
- Category
- Article
- ISSN
- 0140-9883
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π SIMILAR VOLUMES
We thank Robert Webb (the Editor) and an anonymous referee for their extremely helpful comments and suggestions. We are also grateful to David Simon for his detailed discussion of an earlier version presented at the 2008 European Financial Management Annual Conference. The usual disclaimer applies.
he behavior of the basis from the time a hedge is placed until the time it is T lifted is of considerable importance to the hedger. The very essence of hedg--ing involves an exchange of risk-of price level risk for basis risk. In the placing of a hedge, a hedger is confronted with a choice of severa
Barley, flaxseed, rapeseed, and rye arc Canadian (Winnipeg) commodities. Winnipeg conducts the only barley and rye futures markets in the world, and the only flaxseed futures market in North America. 'Whcn the overall volatility variable, 0: 6.monrh, is omitted from the regression equation, the adju