I n principle, investors could use stock option contracts (i.e., call options) to obtain pre-tax capital gains while simultaneously keeping the balance of their assets in no-risk or low-risk interest bearing securities. However, it would be difficult to achieve capital gains returns equivalent to th
ON THE DYNAMICS OF STOCK INDEX FUTURES AND INDIVIDUAL STOCK RETURNS
โ Scribed by Teppo Martikainen; Jukka Perttunen; Vesa Puttonen
- Book ID
- 111105663
- Publisher
- John Wiley and Sons
- Year
- 1995
- Tongue
- English
- Weight
- 635 KB
- Volume
- 22
- Category
- Article
- ISSN
- 0306-686X
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
## Abstract We investigate bivariate regimeโswitching in daily futuresโcontract returns for the US stock index and tenโyear Treasury notes over the crisisโrich 1997โ2005 period. We allow the return means, volatilities, and correlation to all vary across regimes. We document a striking contrast betw
## Abstract This study tests the presence of timeโvarying risk premia associated with extreme news events or jumps in stock index futures return. The model allows for a dynamic jump component with autoregressive jump intensity, longโrange dependence in volatility dynamics, and a volatility in mean
With the advent of futures contracts on stock indexes, active and offensively minded portfolio risk management, in its broadest sense, became practicable. In effect, the risk manager and the individual investor gained We are grateful to Ian Garrett, Andrew Foster, and Jonty Rougier for helpful comme