Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 5 of 5 for “"S&P 500 futures"”.
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Essays on the Modelling of S&P 500 Volatility
… research is based primarily upon the use of S&P 500 data for the period 1982-2002. There are three self-contained but seemingly related projects in this dissertation. The objectives of this research are: 1) to characterise the term-structure of implied volatility; 2) to compare the performance of …
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Three essays in options pricing: 1. Volatilities implied by price changes in the S&P 500 options and future contracts 2. Price changes in the S&P options and futures contracts: a regression analysis 3. Hedging price changes in the S&P 500 options and futures contracts: the effect of different measures of implied volatility
… measure and the historical volatility of the S&P 500 index. Then, I investigate the performance of the implied price change volatility in a regression setup and in hedging applications. I compare the performance of hedges using daily updated implied price change volatility and implied volatility …
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Index participation units and the performance of index futures markets and index options markets
… of SPDRs on the pricing efficiency of S&P 500 futures market and S&P 500 options market. Using a measure of efficiency that is based on the signed difference between the observed futures price and the theoretical futures price as per the Cost of Carry model, we find that the positive …
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Range-based Volatility Modelling, Forecasting and Spillovers
… (i.e., GBP/USD and EURO/USD) and E-mini futures (i.e., S&P 500 futures and crude oil), over the period 2002-2015 are considered. The novel co-range estimator is superior to the hybrid covariance estimators, dynamic conditional correlation (DCC) and hybrid exponential weighted moving …
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Essays on Asset Pricing and Downside Risk
… able to predict future excess returns of the S&P 500 and (ii) stocks with high betas on the margin-related factor pay on average higher returns compared those with low margin betas. These results are important not only to understand asset prices, but also the unconventional polices implemented by …