Features of Financial Returns Modelling Price Volatility Forecasting Standard Deviations The Accuracy of Autocorrelation Estimates Testing the Random Walk Hypothesis Forecasting Trends in Prices Evidence Against the Efficiency of Futures Markets Valuing Options Appendix: A Computer Program for Modelling Financial Time Series.

Modelling Financial Time Series

This paper discusses the commonly used methods for testing option pricing models, including the Black-Scholes, constant elasticity of variance, stochastic volatility, and jump-diffusion models. Since options are derivative assets, the central empirical issue is whether the distributions implicit in option prices are consistent with the time series properties of the underlying asset prices. Three relevant aspects of consistency are discussed, corresponding to whether time series-based inferences and option prices agree with respect to volatility, changes in volatility, and higher moments. The paper surveys the extensive empirical literature on stock options, options on stock indexes and stock index futures, and options on currencies and currency futures.

Testing Option Pricing Models

This paper offers two main innovations. First, we construct a global fear index (GFI) for the COVID-19 pandemic to support economic, financial, and policy analyses in this area. Second, we demonstr...

https://www.tandfonline.com/doi/pdf/10.1080/1540496X.2020.1785424

Constructing a Global Fear Index for the COVID-19 Pandemic

Motivated by the COVID-19 pandemic, we examine the role of uncertainty due to infectious diseases in predicting energy market volatility using the new dataset on Equity Market Volatility-Infectious Diseases (EMV-ID). We find that the new measure of market uncertainty is a good predictor of energy market volatility in both in-sample and out-of-sample tests. These results have implications for portfolio diversification strategies, which we set aside for future research.

/pdf/uncertainty-due-to-infectious-diseases-and-energy-market-59hv7lsyp1.pdf

Uncertainty Due to Infectious Diseases and Energy Market Volatility

This paper summarizes the effects of deregulation of restrictions on bank entry and expansion on the real economy. The evidence suggests that following state-level deregulation of restrictions on branching, state economic growth accelerated. This better growth performance was especially pronounced in the entrepreneurial sector. In addition to faster growth, macroeconomic stability improved with interstate deregulation that allowed that banking system to integrate across state lines. This deregulation reduced the sensitivity of state economies to shocks to their own banks’ capital.

The Real Effects of U.S. Banking Deregulation Commentary

This article aims to uncover the effects of the COVID-19 pandemic on the energy markets in terms of energy stock indexes, energy futures, ETFs, and implied volatility indexes. We model the volatility of energy markets and demonstrate the effects of various phases of the pandemic outbreak (COVID-19) on the energy market. COVID-19-induced uncertainty indicators like the growth of the infection, economic policy uncertainty (EPU), and infectious diseases market volatility (IDsMV) have shown pronounced effects on energy markets’ historical volatility. The volatility of energy ETFs–stocks appears to be more resilient in line with S&P 500 energy stocks. WTI crude oil market has shown an unprecedented overreaction amid pandemic outbreaks and traded with an extreme volatility level. The investors’ sentiment in the energy market was factually higher on the tail events, indicating that fearful investors rushed toward put options and paid an excess premium to protect from unparalleled risk in the energy market.

/pdf/impact-of-covid-19-pandemic-on-the-energy-markets-ne22k6ti1i.pdf

Impact of COVID-19 pandemic on the energy markets

Policy uncertainty and Bitcoin returns

The implied volatility index: Is ‘investor fear gauge’ or ‘forward-looking’?

Behavioural finance literature explains that investment decisions are subject to ‘investor sentiment’ and, consequently, may affect the pricing of various asset classes. Our study examines the 12 m...

Imlak Shaikh

Papers

Impact of COVID-19 pandemic on the energy markets

Policy uncertainty and Bitcoin returns

The implied volatility index: Is ‘investor fear gauge’ or ‘forward-looking’?

Impact of COVID-19 pandemic disease outbreak on the global equity markets

The 2016 U.S. presidential election and the Stock, FX and VIX markets