Timothy A. Krause
- Published in print:
- 2018
- Published Online:
- March 2018
- ISBN:
- 9780190656010
- eISBN:
- 9780190656041
- Item type:
- chapter
- Publisher:
- Oxford University Press
- DOI:
- 10.1093/oso/9780190656010.003.0015
- Subject:
- Economics and Finance, Financial Economics
This chapter examines the relation between futures prices relative to the spot price of the underlying asset. Basic futures pricing is characterized by the convergence of futures and spot prices ...
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This chapter examines the relation between futures prices relative to the spot price of the underlying asset. Basic futures pricing is characterized by the convergence of futures and spot prices during the delivery period just before contract expiration. However, “no arbitrage” arguments that dictate the fair value of futures contracts largely determine pricing relations before expiration. Although the cost of carry model in its various forms largely determines futures prices before expiration, the chapter presents alternative explanations. Related commodity futures complexes exhibit mean-reverting behavior, as seen in commodity spread markets and other interrelated commodities. Energy commodity futures prices can be somewhat accurately modeled as a generalized autoregressive conditional heteroskedastic (GARCH) process, although whether these models provide economically significant excess returns is uncertain.Less
This chapter examines the relation between futures prices relative to the spot price of the underlying asset. Basic futures pricing is characterized by the convergence of futures and spot prices during the delivery period just before contract expiration. However, “no arbitrage” arguments that dictate the fair value of futures contracts largely determine pricing relations before expiration. Although the cost of carry model in its various forms largely determines futures prices before expiration, the chapter presents alternative explanations. Related commodity futures complexes exhibit mean-reverting behavior, as seen in commodity spread markets and other interrelated commodities. Energy commodity futures prices can be somewhat accurately modeled as a generalized autoregressive conditional heteroskedastic (GARCH) process, although whether these models provide economically significant excess returns is uncertain.
Niels Haldrup, Mika Meitz, and Pentti Saikkonen (eds)
- Published in print:
- 2014
- Published Online:
- August 2014
- ISBN:
- 9780199679959
- eISBN:
- 9780191760136
- Item type:
- book
- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780199679959.001.0001
- Subject:
- Economics and Finance, Econometrics
This book is a collection of 14 original research articles presented at the conference Nonlinear Time Series Econometrics that was held in Ebeltoft, Denmark, in June 2012. The conference gathered ...
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This book is a collection of 14 original research articles presented at the conference Nonlinear Time Series Econometrics that was held in Ebeltoft, Denmark, in June 2012. The conference gathered several eminent time series econometricians to celebrate the work and outstanding career of Professor Timo Teräsvirta, one of the leading scholars in the field of nonlinear time series econometrics. The book is divided into four broad themes that all reflect Timo Teräsvirta’s work and methodology: testing for linearity and functional form, specification testing and estimation of nonlinear time series models in the form of smooth transition models, model selection and econometric methodology, and finally applications within the area of financial econometrics. All these research fields include contributions that represent the state of the art in econometrics, such as testing for neglected nonlinearity in neural network models, time-varying GARCH and smooth transition models, STAR models and common factors in volatility modeling, semi-automatic general to specific model selection for nonlinear dynamic models, high-dimensional data analysis for parametric and semi-parametric regression models with dependent data, commodity price modeling, financial analysts earnings forecasts based on asymmetric loss function, local Gaussian correlation and dependence for asymmetric return dependence, and the use of bootstrap aggregation to improve forecast accuracy. Each chapter represents original scholarly work, and reflects the intellectual impact that Timo Teräsvirta has had, and will continue to have, on the profession.Less
This book is a collection of 14 original research articles presented at the conference Nonlinear Time Series Econometrics that was held in Ebeltoft, Denmark, in June 2012. The conference gathered several eminent time series econometricians to celebrate the work and outstanding career of Professor Timo Teräsvirta, one of the leading scholars in the field of nonlinear time series econometrics. The book is divided into four broad themes that all reflect Timo Teräsvirta’s work and methodology: testing for linearity and functional form, specification testing and estimation of nonlinear time series models in the form of smooth transition models, model selection and econometric methodology, and finally applications within the area of financial econometrics. All these research fields include contributions that represent the state of the art in econometrics, such as testing for neglected nonlinearity in neural network models, time-varying GARCH and smooth transition models, STAR models and common factors in volatility modeling, semi-automatic general to specific model selection for nonlinear dynamic models, high-dimensional data analysis for parametric and semi-parametric regression models with dependent data, commodity price modeling, financial analysts earnings forecasts based on asymmetric loss function, local Gaussian correlation and dependence for asymmetric return dependence, and the use of bootstrap aggregation to improve forecast accuracy. Each chapter represents original scholarly work, and reflects the intellectual impact that Timo Teräsvirta has had, and will continue to have, on the profession.
