Search results for "Volatility"
showing 10 items of 245 documents
IMPORTANCIA DE LAS PERTURBACIONES EXTERNAS EN LA ECONOMÍA ESPAÑOLA TRAS LA INTEGRACIÓN: ¿TAMAÑO DEL SHOCK O GRADO DE RESPUESTA?
2005
This paper analyses whether the impact of European shocks in the Spanisheconomy has increased after the entry of Spain in the European Community. UsingVAR models, we try to disentangle whether the change in the importance of Europe isdue to a change in the size of the shocks or in the propagation effects. The results showsthat after 1986, despite the decrease in the size of European shocks, their impact on theSpanish business cycle has increases due to a larger sensitivity of the Spanish economyto these shocks. El objetivo de este trabajo es analizar si ha aumentado la influencia de los shocks europeos en la economía española tras el proceso de integración en Europa, distinguiendo si los ca…
ANALYZING THE EUROPEAN MARKET OF INTEREST RATE SWAP INDICES
2012
The interest rate risk is the most important risk that derives from the OTC transactions, taking into consideration both the notional amounts and the market value of the financial derivatives that relies on interest rate contracts. Open positions on interest rate derivatives represents more than 75% of the OTC market. In the European banking market interest rate swaps prices are strongly dependent on the interbank interest rates. In this paper we want to analyze the behavior of the Eoniaswap indices and their impact on the interest rate swaps between banks.
Are Energy Market Integrations a Green Light for FDI?
2015
This paper studies the effect of energy market integration (EMI) on foreign direct investment (FDI). EMIs diminish energy uncertainty and price volatility in the host country and affect FDI through two channels: first, by harmonizing energy prices and, second, by reducing price dispersion. FDI may, as a result, increase both within and outside the EMI area, through energy stability mechanisms and price mechanisms, respectively. An empirical application on a global dataset including bilateral FDI data, during 2003-2012, using the gravity equation, shows that the integration of Portugal and Spain's electricity market in 2007 increased the amount of FDI's participants. Additionally, a positive…
Impact of Renewables in Spanish Electricity Markets
2021
El objetivo de la presente tesis es analizar el impacto de la introducción de las energías renovables en el sistema eléctrico español. El sistema eléctrico español es elegido como ejemplo paradigmático debido al intenso crecimiento observado en las renovables en los últimos años, en especial de energía eólica. Su contenido se estructura en 3 capítulos: En el primer Capitulo, ”Effects of renewable on the stylized facts of electricity prices”, se analiza el impacto de las renovables en el precio resultante de la subasta del mercado diario (también llamado precio spot) siendo objeto de estudio no solo el comportamiento del precio en niveles, sino también sus características principales, como …
The Euro and Monetary Policy Transparency
2002
This paper focuses on a possible explanation for the weakness of the euro, namely the lack of transparency of the European Central Bank's (ECB) monetary policy. In order to obtain a time-varying measure of monetary policy uncertainty in both the U.S. and Euroland, we estimate a Stochastic Volatility model using policy-adjusted short-term interest rates. We also analyze directly the impact of higher uncertainty on the euro-dollar exchange rate. The empirical findings are in line with those of other studies, and show that the U.S. Fed is more transparent than the ECB. This results in higher volatility of European interest rates, capital outflows, and a weaker euro vis-a-vis the U.S. dollar.
Modeling foreign exchange market activity around macroeconomic news: Hawkes-process approach
2015
We present a Hawkes-model approach to the foreign exchange market in which the high-frequency price dynamics is affected by a self-exciting mechanism and an exogenous component, generated by the pre-announced arrival of macroeconomic news. By focusing on time windows around the news announcement, we find that the model is able to capture the increase of trading activity after the news, both when the news has a sizable effect on volatility and when this effect is negligible, either because the news in not important or because the announcement is in line with the forecast by analysts. We extend the model by considering noncausal effects, due to the fact that the existence of the news (but not…
Reduced Order Models for Pricing European and American Options under Stochastic Volatility and Jump-Diffusion Models
2017
Abstract European options can be priced by solving parabolic partial(-integro) differential equations under stochastic volatility and jump-diffusion models like the Heston, Merton, and Bates models. American option prices can be obtained by solving linear complementary problems (LCPs) with the same operators. A finite difference discretization leads to a so-called full order model (FOM). Reduced order models (ROMs) are derived employing proper orthogonal decomposition (POD). The early exercise constraint of American options is enforced by a penalty on subset of grid points. The presented numerical experiments demonstrate that pricing with ROMs can be orders of magnitude faster within a give…
Reduced Order Models for Pricing American Options under Stochastic Volatility and Jump-diffusion Models
2016
American options can be priced by solving linear complementary problems (LCPs) with parabolic partial(-integro) differential operators under stochastic volatility and jump-diffusion models like Heston, Merton, and Bates models. These operators are discretized using finite difference methods leading to a so-called full order model (FOM). Here reduced order models (ROMs) are derived employing proper orthogonal decomposition (POD) and non negative matrix factorization (NNMF) in order to make pricing much faster within a given model parameter variation range. The numerical experiments demonstrate orders of magnitude faster pricing with ROMs. peerReviewed
Iterative Methods for Pricing American Options under the Bates Model
2013
We consider the numerical pricing of American options under the Bates model which adds log-normally distributed jumps for the asset value to the Heston stochastic volatility model. A linear complementarity problem (LCP) is formulated where partial derivatives are discretized using finite differences and the integral resulting from the jumps is evaluated using simple quadrature. A rapidly converging fixed point iteration is described for the LCP, where each iterate requires the solution of an LCP. These are easily solved using a projected algebraic multigrid (PAMG) method. The numerical experiments demonstrate the efficiency of the proposed approach. Furthermore, they show that the PAMG meth…
How news affect the trading behavior of different categories of investors in a financial market
2015
We investigate the trading behavior of a large set of single investors trading the highly liquid Nokia stock over the period 2003-2008 with the aim of determining the relative role of endogenous and exogenous factors that may affect their behavior. As endogenous factors we consider returns and volatility, whereas the exogenous factors we use are the total daily number of news and a semantic variable based on a sentiment analysis of news. Linear regression and partial correlation analysis of data show that different categories of investors are differently correlated to these factors. Governmental and non profit organizations are weakly sensitive to news and returns or volatility, and, typica…