Risk-free interest rates

Binsbergen, Jules H. van; Diamond, William; Grotteria, Marco

doi:10.1016/j.jfineco.2021.06.012

Cited by 68 publications

(29 citation statements)

References 43 publications

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“… See Krishnamurthy and Vissing-Jorgensen (2012),Nagel (2016),Lustig, Jiang, Nieuwerburgh, and Xiaolan (2019) andBinsbergen, Diamond, and Grotteria (2019) for recent contributions in this area.…”

mentioning

confidence: 99%

Duration-Based Stock Valuation: Reassessing Stock Market Performance and Volatility

Binsbergen

2020

SSRN Journal

Self Cite

View full text Add to dashboard Cite

mentioning

confidence: 99%

Duration-Based Stock Valuation: Reassessing Stock Market Performance and Volatility

Binsbergen

2020

SSRN Journal

Self Cite

View full text Add to dashboard Cite

“…To mitigate these drawbacks, we followed the method used by Desmettre et al [ 1 ] and formulated the put–call parity as a linear regression model. Similar formulations have also been used by van Binsbergen et al [ 33 ], Azzone and Baviera [ 24 ], and Blomvall et al [ 25 ] for interest rate estimation methodologies.…”

Section: Dividend Modeling and Estimationmentioning

confidence: 95%

“…Ronn and Ronn [ 32 ] presented an option position, the box-position, from which a market-implied interest rate could be estimated without specifying a dividend. The position has been used in the literature, e.g., van Binsbergen et al [ 33 ] and Blomvall et al [ 25 ]. The box-position is constructed by combining two put–call parities or the equivalent of two synthetic forward positions.…”

Section: Dividend Modeling and Estimationmentioning

confidence: 99%

Improved Dividend Estimation from Intraday Quotes

Söderbäck

Blomvall

Singull

2022

Entropy

View full text Add to dashboard Cite

Liquid financial markets, such as the options market of the S&P 500 index, create vast amounts of data every day, i.e., so-called intraday data. However, this highly granular data is often reduced to single-time when used to estimate financial quantities. This under-utilization of the data may reduce the quality of the estimates. In this paper, we study the impacts on estimation quality when using intraday data to estimate dividends. The methodology is based on earlier linear regression (ordinary least squares) estimates, which have been adapted to intraday data. Further, the method is also generalized in two aspects. First, the dividends are expressed as present values of future dividends rather than dividend yields. Second, to account for heteroscedasticity, the estimation methodology was formulated as a weighted least squares, where the weights are determined from the market data. This method is compared with a traditional method on out-of-sample S&P 500 European options market data. The results show that estimations based on intraday data have, with statistical significance, a higher quality than the corresponding single-times estimates. Additionally, the two generalizations of the methodology are shown to improve the estimation quality further.

show abstract

“…A different EFR could be associated with different markets. See, for example, Binsbergen, Diamond, and Grotteria (2019) for equity options, and Fleckenstein and Longstaff (2018) for Treasury note futures.…”

Section: A Modelmentioning

confidence: 99%

“…This includes LIBOR as a pre-GFC reference rate, and OIS as a post-GFC reference rate for swap contracts. Finally, we consider a set of U.S -only variables: the effective Federal Funds rate (EFFR) as another measure of near-money rates, the certificate of deposit -Treasury spread as a measure of the opportunity cost of collateral (Nagel, 2016), and the interest rates implicit in S&P 500 option box spreads (Binsbergen, Diamond, and Grotteria, 2019). We provide a detailed overview of all data sources in the online appendix.…”

Section: Effective Funding Ratesmentioning

confidence: 99%

The Term Structure of Covered Interest Rate Parity Violations

Augustin

Chernov

Schmid

et al. 2020

View full text Add to dashboard Cite

the CDI Virtual Derivatives Workshop, and the 2020 David Backus memorial conference. An earlier version of the paper was titled "A no-arbitrage perspective on global arbitrage opportunities." The latest version is available at http://bit.ly/ CIPviolations. NBER working papers are circulated for discussion and comment purposes. They have not been peer-reviewed or been subject to the review by the NBER Board of Directors that accompanies official NBER publications.

show abstract

Risk-free interest rates

Cited by 68 publications

References 43 publications

Duration-Based Stock Valuation: Reassessing Stock Market Performance and Volatility

Duration-Based Stock Valuation: Reassessing Stock Market Performance and Volatility

Improved Dividend Estimation from Intraday Quotes

The Term Structure of Covered Interest Rate Parity Violations

Contact Info

Product

Resources

About