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dc.contributor.authorKelly, Nathan Ken_NZ
dc.date.available2011-04-07T03:14:43Z
dc.date.copyright2006-03-19en_NZ
dc.identifier.citationKelly, N. K. (2006, March 19). Volatility forecasting in the 90-Day Australian bank bill futures market (Thesis). Retrieved from http://hdl.handle.net/10523/1340en
dc.identifier.urihttp://hdl.handle.net/10523/1340
dc.descriptionThe first file is the version submitted for completion of MBus and the second is the version submitted to the AsianFA/FMA Conference in Auckland, New Zealand in July, 2006. The second only differs in formatting and the appendix detail.en_NZ
dc.description.abstractThis study employs a comprehensive data set from the 90-Day Australian Bank Bills Futures market to test the predictive power of the theoretically superior implied volatility against historical volatility. Overall, the volatility forecasting results are in line with previous research into futures markets. Implied volatility is a biased forecaster, historical volatility contains no extra information beyond that contained in implied volatility and the market is relatively efficient. The market tested also has two unique characteristics compared to previous research, futures style margining on the option contracts and geographic location. This, combined with the use of both overlapping and non-overlapping data sets, ensures the results are significant.en_NZ
dc.format.mimetypeapplication/pdf
dc.format.mimetypeapplication/pdf
dc.subjectvolatility forecastingen_NZ
dc.subjectforecastingen_NZ
dc.subjectmarket efficiencyen_NZ
dc.subjectinterest ratesen_NZ
dc.subjectoptionsen_NZ
dc.subjectimplied volatilityen_NZ
dc.subjectAsayen_NZ
dc.subjectVolatilityen_NZ
dc.subjectFutures marketen_NZ
dc.subject.lcshHF Commerceen_NZ
dc.subject.lcshHF5601 Accountingen_NZ
dc.subject.lcshHG Financeen_NZ
dc.titleVolatility forecasting in the 90-Day Australian bank bill futures marketen_NZ
dc.typeThesisen_NZ
dc.description.versionUnpublisheden_NZ
otago.bitstream.pages42en_NZ
otago.date.accession2006-08-09en_NZ
otago.schoolFinanceen_NZ
thesis.degree.disciplineFinanceen_NZ
thesis.degree.grantorUniversity of Otagoen_NZ
thesis.degree.levelMasters Thesesen_NZ
otago.openaccessOpen
dc.identifier.eprints328en_NZ
otago.school.eprintsFinance & Quantitative Analysisen_NZ
dc.description.referencesThis study employs a comprehensive data set from the 90-Day Australian Bank Bills Futures market to test the predictive power of the theoretically superior implied volatility against historical volatility. Overall, the volatility forecasting results for are in line with previous research into futures markets. Implied volatility is a bias forecaster, historical volatility contains no extra information beyond that contained in implied volatility and the market is relatively efficient. Due to the use of both overlapping and non-overlapping data sets and the unique attributes to the market, futures style margining on the option contracts and geographic location, the results are significant.en_NZ
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