Browsing by Author "Schwartz, Eduardo S."

Now showing 1 - 5 of 5
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    Commodity Price Forecasts, Futures Prices, and Pricing Models
    (2019) Cortázar S., Gonzalo; Millard, Cristóbal; Ortega González, Héctor Iván; Schwartz, Eduardo S.
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    Credit Spreads in Illiquid Markets: Model and Implementation
    (ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD, 2012) Cortazar, Gonzalo; Schwartz, Eduardo S.; Tapia, Claudio
    This paper presents a methodology for estimating a family of credit spread term structures in a market with few transactions. The authors propose partitioning the market into risk classes and modeling credit spread term structures for each risk class using a multifactor Vasicek model with some common and some risk class-specific factors. The approach uses information on the cross section and time series of corporate bonds in all the risk classes to estimate the term structure of credit spreads in each risk class. The model is jointly estimated using an extended Kalman filter and implemented using Chilean corporate and government bonds.
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    Expected commodity returns and pricing models
    (2015) Cortázar S., Gonzalo; Kovacevic, Ivo; Schwartz, Eduardo S.
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    Term-structure estimation in markets with infrequent trading
    (WILEY-BLACKWELL, 2007) Cortazar, Gonzalo; Schwartz, Eduardo S.; Naranjo, Lorenzo F.
    There are two issues that are of central importance in term-structure analysis. One is the modelling and estimation of the current term structure of spot rates. The second is the modelling and estimation of the dynamics of the term structure. These two issues have been addressed independently in the literature. The methods that have been proposed assume a sufficiently complete price data set and are generally implemented separately. However, there are serious problems when these methods are applied to markets with sparse bond prices. We develop a method for jointly estimating the current term-structure and its dynamics for markets with infrequent trading. We propose solving both issues by using a dynamic term-structure model estimated from incomplete panel-data. To achieve this, we modify the standard Kalman filter approach to deal with the missing-observation problem. In this way, we can use historic price data in a dynamic model to estimate the current term structure. With this approach we are able to obtain an estimate of the current term structure even for days with an arbitrary low number of price observations. The proposed methodology can be applied to a broad class of continuous-time term-structure models with any number of stochastic factors. To show the implementation of the approach, we estimate a three-factor generalized-Vasicek model using Chilean government bond price data. The approach, however, may be used in any market with infrequent trading, a common characteristic of many emerging markets. Copyright (c) 2007 John Wiley & Sons, Ltd.
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    Time-Varying Term Structure of Oil Risk Premia
    (2022) Cortazar, Gonzalo; Liedtke, Philip; Ortega, Hector; Schwartz, Eduardo S.
    We develop a framework to estimate time-varying commodity risk premia from multi-factor models using futures prices and analysts' forecasts of future prices. The model is calibrated for oil using a 3-factor stochastic commodity-pricing model with an affine risk premia specification. The WTI oil futures price data is from the New York Mercantile Exchange (NYMEX) and analysts' forecasts are from Bloomberg and the U.S Energy Information Administration. Weekly estimations for short, medium, and long-term risk premia between 2010 and 2017 are obtained. Results from the model calibration show that the term structure of oil risk premia moves stochastically through time, that short-term risk premia tend to be higher than long-term ones and that risk premia volatility is much higher for short maturities. An empirical analysis is performed to explore the macroeconomic and oil market variables that may explain the stochastic behavior of oil risk premia, showing that inventories, hedging pressure, term premium, default premium and the level of interest rates all play a significant role in explaining the risk premia.