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Pricing Metal Futures. The Two-Regime-Pricing Model revisited
| Call Number: | Libro Electrónico |
|---|---|
| Main Author: | |
| Format: | Electronic eBook |
| Language: | Inglés |
| Published: |
Hamburg :
Diplomica Verlag,
2017.
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| Series: | Alternative Investments.
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| Subjects: | |
| Online Access: | Texto completo |
Table of Contents:
- Pricing Metal Futures. The Two-Regime-Pricing Model revisited; Vorwort; Abstract; Contents; List of Abbreviations; List of Figures; List of Tables; 1 Introduction; 2 Literature review; 3 Statistical Properties of Metal Prices; 3.1 Data set; 3.2 Stationarity and Mean Reversion; 3.3 Volatility and Samuelson Hypothesis; 3.4 Seasonal and Business Cycle Effects; 4 Pricing Metal Futures; 4.1 TRP Model Setup; 4.2 TRP Model Analysis; 4.3 Parameter Estimation; 4.3.1 Rolling window estimation; 4.3.2 Full history estimation; 4.4 Futures Pricing Accuracy; 5 Conclusion
- A LME futures contract specificationB Stationarity tests of logarithmic futures prices; C Volatility and Samuelson hypothesis
- Bessembinder et al. (1996) specification; D Rolling window and full history estimation; E Derivation of Cost-of-Carry futures return volatility; F Theoretical futures return volatility
- rolling window estimates; References