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Department of Finance and Real Estate

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https://hdl.handle.net/10217/206603
This digital collection includes faculty publications from the Department of Finance and Real Estate and publications from the Everitt Real Estate Center.

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Browsing Department of Finance and Real Estate by Author "Elder, John, author"

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    Fractional differencing in discrete time
    (Colorado State University. Libraries, 2011-07-23) Elder, John, author; Elliott, Robert J., author; Miao, Hong, author; Quantitative Finance, publisher
    This paper consists of two parts, a theoretical followed by an empirical contribution. We first give a new framework for fractional differencing in discrete time and show how the definition of fractional differencing that is commonly employed in empirical financial applications arises as a special case. We then use these methods to estimate the fractional differencing parameter in the return and volatility for three Comex metal futures contracts. The metal futures are sampled at very high frequencies—five-minute intervals over a nearly eight year period.
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    Impact of macroeconomic news on metal futures
    (Colorado State University. Libraries, 2011-06-07) Elder, John, author; Miao, Hong, author; Ramchander, Sanjay, author; Journal of Banking & Finance, publisher
    This paper uses intra-day data for the period 2002 through 2008 to examine the intensity, direction, and speed of impact of U.S. macroeconomic news announcements on the return, volatility and trading volume of three important commodities – gold, silver and copper futures. We find that the response of metal futures to economic news surprises is both swift and significant, with the 8:30 am set of announcements – in particular, nonfarm payrolls and durable goods orders – having the largest impact. Furthermore, announcements that reflect an unexpected improvement in the economy tend to have a negative impact on gold and silver prices; however, they tend to have a positive effect on copper prices. In comparison, realized volatility and volume for all three metals are positively influenced by economic news. Finally, there is evidence that several news announcements exert an asymmetric impact on market activity variables.
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    Jumps in oil prices: the role of economic news
    (Colorado State University. Libraries, 2012-12) Elder, John, author; Miao, Hong, author; Ramchander, Sanjay, author; The Energy Journal, publisher
    Previous research has been unable to identify a strong link between crude oil prices and economic news. We reexamine this relationship using high frequency intraday data and relatively new methodology to estimate jumps in oil prices. We find a surprisingly strong correspondence between high frequency jumps in oil prices and the arrival of new economic information, with the largest jumps tending to be preceded identifiable economic news. These results indicate that oil prices respond very rapidly to new economic data in ways that appear consistent with economic theory, and also suggest that economic news, rather than speculation unrelated to the economic environment, drives jumps in oil prices.
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    Price discovery in crude oil futures
    (Colorado State University. Libraries, 2014-09-15) Elder, John, author; Miao, Hong, author; Ramchander, Sanjay, author; Energy Economics, publisher
    This study examines price discovery among the two most prominent price benchmarks in the market for crude oil, WTI sweet crude and Brent sweet crude. Using data on the most active futures contracts measured at the one-second frequency, we find that WTI maintains a dominant role in price discovery relative to Brent, with an estimated information share in excess of 80%, over a sample from 2007 to 2012. Our analysis is robust to different decompositions of the sample, over pit-trading sessions and non-pit trading sessions, segmentation of days associated with major economic news releases, and data measured to the millisecond. We find no evidence that the dominant role of WTI in price discovery is diminished by the price spread between Brent that emerged in 2008.