Persistence of volatility in futures markets

This article examines the characteristics of key measures of volatility for different types of futures contracts to provide a better foundation for modeling volatility behavior and derivative values. Particular attention is focused on analyzing how different measures of volatility affect volatility persistence relationships. Intraday realized measures of volatility are found to be more persistent than daily measures, the type of GARCH procedure used for conditional volatility analysis is critical, and realized volatility persistence is not coherent with conditional volatility persistence. Specifically, although there is a good fit between the realized and conditional volatilities, no coherence exists between their degrees of persistence, a counterintuitive finding that shows realized and conditional volatility measures are not a substitute for one another

Metal complexes with atropisomeric sulfur ligands in asymmetric hydroformylation X-ray structure of [Rh2(μ-biphes)(cod)2] (H2biphes = 4,4′-biphenanthrene-3,3′-dithiol)

The addition of the atropisomeric racemic sulfur compound 4,4′-biphenanthrene-3,3′-dithiol (H2 biphes) to a dichloromethane solution of [{M(μ-OMe)(cod)}2] (M = Rh, Ir, cod = cycloocta-1,5-diene) afforded the dithiolate-bridged complexes [{Rh2(μ-biphes)(cod)2}n] (n = 2 5 or n = 1 6) and [{Ir2(μ-biphes)(cod)2}n]·nCH2Cl27. When 1,1′-binaphthalene-2,2′-dithiol (H2 binas) reacted with [{Ir(μ-OMe)(cod)}2], complex [Ir2(μ-binas)(cod)2] 8 was obtained. Complexes 5 and 6 reacted with carbon monoxide to give the dinuclear tetracarbonyl complex [Rh2(μ-biphes)(CO)4] 9. The reaction of 9 with PR3 provided the mixed-ligand complexes [{Rh2(μ-biphes)(CO)2(PR3)2}2] · xCH2Cl2 (R = Ph, x = 2 10, C6H11, x = 1 11) and [{Rh2(μ-biphes)(CO)3(PR3)}2] · CH2Cl212 (R = OC6H4But-o). The crystal structure of 6 was determined by X-ray diffraction. Reaction of the dithioether ligand Me2biphes with [Rh(cod)2]ClO4 in CH2Cl2 solution afforded the cationic complex [Rh(cod)(Me2biphes)]ClO4 · CH2Cl213. Asymmetric hydroformylation of styrene was performed using the complexes described. The extent of aldehyde conversion ranges from 53 to 100%, with selectivities towards branched aldehydes in the range 51 to 96%. The enantioselectivities were quite low and did not exceed 20%.

The effect of asymmetries on optimal hedge ratios

There is widespread evidence that the volatility of stock returns displays an asymmetric response to good and bad news. This article considers the impact of asymmetry on time-varying hedges for financial futures. An asymmetric model that allows forecasts of cash and futures return volatility to respond differently to positive and negative return innovations gives superior in-sample hedging performance. However, the simpler symmetric model is not inferior in a hold-out sample. A method for evaluating the models in a modern risk-management framework is presented, highlighting the importance of allowing optimal hedge ratios to be both time-varying and asymmetric.

Modelling the implied volatility of options on long gilt futures

This paper investigates the properties of implied volatility series calculated from options on Treasury bond futures, traded on LIFFE. We demonstrate that the use of near-maturity at the money options to calculate implied volatilities causes less mis-pricing and is therefore superior to, a weighted average measure encompassing all relevant options. We demonstrate that, whilst a set of macroeconomic variables has some predictive power for implied volatilities, we are not able to earn excess returns by trading on the basis of these predictions once we allow for typical investor transactions costs.

Asymmetric oligopoly and foreign direct investment: implications for host-country tax-setting

We present a duopoly model with heterogeneous firms that vary in cost-efficiency, each of which can choose to serve a foreign market by either exporting or local production. We do so to analyse the effects of a host-country corporate profit tax on both the scale and composition of FDI, and find that: strategic interaction between oligopolistic firms provides for a pattern of FDI that favours cost-inefficiency to the detriment of host-country welfare; and the host-country tax rate can be optimally used to avoid such patterns of FDI and instead promote direct investment by a relatively cost-efficient firm.

Asymmetric space market adjustment in the London office market

Models of the City of London office market are extended by considering a longer time series of data, covering two cycles, and by explicit modeling of asymmetric rental response to supply and demand model. A long run structural model linking demand for office space, real rental levels and office-based employment is estimated and then rental adjustment processes are modeled using an error correction model framework. Adjustment processes are seen to be asymmetric, dependent both on the direction of the supply and demand shock and on the state of the rental market at the time of the shock. A complete system of equations is estimated: unit shocks produce oscillations but there is a return to a steady equilibrium state in the long run.

Volatility persistence and time-varying betas in the UK real estate market

This paper investigates the degree of return volatility persistence and the time-varying behaviour of systematic risk (beta) for 31 market segments in the UK real estate market. The findings suggest that different property types exhibit differences in volatility persistence and time variability. There is also evidence that the volatility persistence of each market segment and its systematic risk are significantly positively related. Thus, the systematic risks of different property types tend to move in different directions during periods of increased market volatility. Finally, the market segments with systematic risks less than one tend to show negative time variability, while market segments with systematic risk greater than one generally show positive time variability, indicating a positive relationship between the volatility of the market and the systematic risk of individual market segments. Consequently safer and riskier market segments are affected differently by increases in market volatility.

Asymmetric response of demand-supply mismatch to investor's sentiment

We look through both the demand and supply side information to understand dynamics of price determination in the real estate market and examine how accurately investors’ attitudes predict the market returns and thereby flagging off extent of any demand-supply mismatch. Our hypothesis is based on the possibility that investors’ call for action in terms of their buy/sell decision and adjustment in reservation/offer prices may indicate impending demand-supply imbalances in the market. In the process, we study several real estate sectors to inform our analysis. The timeframe of our analysis (1995-2010) allows us to observe market dynamics over several economic cycles and in various stages of those cycles. Additionally, we also seek to understand how investors’ attitude or the sentiment affects the market activity over the cycles through asymmetric responses. We test our hypothesis variously using a number of measures of market activity and attitude indicators within several model specifications. The empirical models are estimated using Vector Error Correction framework. Our analysis suggests that investors’ attitude exert strong and statistically significant feedback effects in price determination. Moreover, these effects do reveal heterogeneous responses across the real estate sectors. Interestingly, our results indicate the asymmetric responses during boom, normal and recessionary periods. These results are consistent with the theoretical underpinnings.

Futures basis, inventory and commodity price volatility: an empirical analysis

We employ a large dataset of physical inventory data on 21 different commodities for the period 1993–2011 to empirically analyze the behavior of commodity prices and their volatility as predicted by the theory of storage. We examine two main issues. First, we analyze the relationship between inventory and the shape of the forward curve. Low (high) inventory is associated with forward curves in backwardation (contango), as the theory of storage predicts. Second, we show that price volatility is a decreasing function of inventory for the majority of commodities in our sample. This effect is more pronounced in backwardated markets. Our findings are robust with respect to alternative inventory measures and over the recent commodity price boom.

Asymmetric synthesis of peptides

The present invention provides a process comprising substitution of an acceptor molecule comprising a group -XC(O)- wherein X is O, S or NR8, where R8 is C1-6 alkyl, C6-12 aryl or hydrogen, with a nucleophile, wherein the acceptor molecule is cyclised such that said nucleophilic substitution at -XC (O)- occurs without racemisation. This process has particular application for the production of a peptide by extension from the activated carboxy-terminus of an acyl amino acid residue without epimerisation.

Asymmetric synthesis of peptides

The present invention provides a process comprising substitution of an acceptor molecule comprising a group -XC(O)- wherein X is O, S or NR8, where R8 is C1-6 alkyl, C6-12 aryl or hydrogen, with a nucleophile, wherein the acceptor molecule is cyclised such that said nucleophilic substitution at -XC (O)- occurs without racemisation. This process has particular application for the production of a peptide by extension from the activated carboxy-terminus of an acyl amino acid residue without epimerisation.

Structure, conduct and the stochastic volatility of food markets: theory and empirics

The relationship between price volatility and competition is examined. Atheoretic, vector auto regressions on farm prices of wheat and retail prices of derivatives (flour, bread, pasta, bulgur and cookies) are compared to results from a dynamic, simultaneous-equations model with theory-based farm-to-retail linkages. Analytical results yield insights about numbers of firms and their impacts on demand- and supply-side multipliers, but the applications to Turkish time series (1988:1-1996:12) yield mixed results.