Detective volatility changes across the oil sector
Article Abstract:
Sudden changes in the variance of financial time series are important in understanding the price sensitivity and hedging risks of options and futures contracts. An iterated cumulative sums-of-squares methodology is employed in determining points and the magnitude of sudden changes in the unconditional variance. Sudden changes in variance in three sets of financial time series are studied. A daily return series from a portfolio of oil-producing companies is also examined to test if volatility changes affect the oil futures market and the stocks of oil-producing companies.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 1996
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Price discovery in the Treasury futures market
Article Abstract:
A regression analysis is used to determine the location of price discovery and the factors that influence it. Orderflow in both Treasury cash and futures markets influence price changes in each other. Price discovery is also influenced by environmental variables like liquidity and Repo financing rates.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2007
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