Time Varying Risk Premia In Futures Markets
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Time Varying Risk Premia In Futures Markets
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Author : Mr.Manmohan S. Kumar
language : en
Publisher: International Monetary Fund
Release Date : 1990-12-01
Time Varying Risk Premia In Futures Markets written by Mr.Manmohan S. Kumar and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 1990-12-01 with Business & Economics categories.
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.
Time Varying Risk Premia In Futures Markets
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Author : Graciela Kaminsky
language : en
Publisher:
Release Date : 2006
Time Varying Risk Premia In Futures Markets written by Graciela Kaminsky and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.
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.
Risk Premia In Futures Markets
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Author : Jisoo Yoo
language : en
Publisher:
Release Date : 1989
Risk Premia In Futures Markets written by Jisoo Yoo and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1989 with Futures market categories.
Time Varying Risk Premia Volatility And Technical Trading Rule Profits
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Author : Bong-Chan Kho
language : en
Publisher:
Release Date : 2008
Time Varying Risk Premia Volatility And Technical Trading Rule Profits written by Bong-Chan Kho and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
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.
Rational Expectations Model Of Time Varying Risk Premia In The Commodities Futures Markets Theory And Evidence
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Author : S. E. Beck
language : en
Publisher:
Release Date : 1990
Rational Expectations Model Of Time Varying Risk Premia In The Commodities Futures Markets Theory And Evidence written by S. E. Beck and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1990 with categories.
Time Varying Risk Premia In Futures Markets
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Author : Graciela; Kumar Kaminsky (Manmohan S.)
language : fr
Publisher:
Release Date : 2004
Time Varying Risk Premia In Futures Markets written by Graciela; Kumar Kaminsky (Manmohan S.) and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with categories.
The Information Content Of Interest Rate Futures And Time Varying Risk Premia
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Author : Sotiris K. Staikouras
language : en
Publisher:
Release Date : 2007
The Information Content Of Interest Rate Futures And Time Varying Risk Premia written by Sotiris K. Staikouras and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.
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.
Risk Premia In Carbon And Energy Futures Markets
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Author : Christel Merlin Kuate Kamga
language : en
Publisher:
Release Date : 2016
Risk Premia In Carbon And Energy Futures Markets written by Christel Merlin Kuate Kamga and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
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.
Time Varying Risk Premiums And Term Premiums In Commodity Futures
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Author : Denis B. Chaves
language : en
Publisher:
Release Date : 2017
Time Varying Risk Premiums And Term Premiums In Commodity Futures written by Denis B. Chaves and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
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.
Re Examining The Futures Market Efficiency Using A New Approach In The Presence Of A Time Varying Risk Premium
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Author : Duminda Kuruppuarachchi
language : en
Publisher:
Release Date : 2014
Re Examining The Futures Market Efficiency Using A New Approach In The Presence Of A Time Varying Risk Premium written by Duminda Kuruppuarachchi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
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.