Price impact on term structure

A Seasonal Stochastic Volatility Model for Futures Price Term Structure

Pricing and estimation issues of exponential aÆne stochastic volatility models are discussed. One speci c model is estimated with Chicago Board of Trade futures price data, where the instantaneous mean and volatility of commodity spot price are allowed to be time varying. Model performance is evaluated based on its t to the futures price term structure and the model implied state variable behav...

Price and Volatility Dynamics Implied by the VIX Term Structure

A particle-filter based estimation method is developed for the stochastic volatility model with/without jumps and applied on the S&P 500 index value and the VIX term structure jointly. The model encompasses all mean-reverting stochastic volatility option pricing models with a constant elasticity of variance, and can allow for price jumps. Our contention is that using the VIX term structure in e...

Food Price Change and its Welfare Impact on Iranian Households

Iran has experienced high food prices in recent years. This paper examines the welfare impacts of rising major food groups' prices on Iranian urban households using Quadratic Almost Ideal Demand System (QUAIDS) approach. The elasticity coefficients derived from QUAIDS are used to estimate Compensated Variations (CV).The study uses Iranian Household Expenditure and Income Survey (HEIS) raw data,...

The Impact of Oil Price Rise on Industrial Production

Price Impact and Portfolio Impact ∗

We study survival, price impact and portfolio impact in heterogeneous economies. We show that, under the equilibrium risk-neutral measure, long-run price impact is in fact equivalent to survival, whereas longrun portfolio impact is equivalent to survival under an agent-specific, wealth-forward measure. These results allow us to show that price impact and portfolio impact are two independent con...