spb/phd_thesis Public

1\begin{landscape}2\begin{table}[htbp]3\centering4\scriptsize5\caption{Robustness: Event-Level Regressions --- $\Delta$RV and $\Delta\log$RV (30-Minute Window, Interaction Model)}6\label{ch3:tab:robustness_A}7\begin{threeparttable}8\begin{tabular}{lllrrllllll}9\toprule10Contract & Dep.\ Var. & Regressor & $\hat{\beta}$ & $t$ & $p_{\text{NW}}$ & $p_{\text{Boot}}$ & $p_{\text{Clust}}$ & $p_{\text{QReg}}$ & $p_{\text{Perm}}$ & \#Sig \\11\midrule12Crude Oil WTI & $\Delta$RV & Stance & -7.78 & -2.94 & 0.004 & 0.691 & 0.001 & -- & 0.007 & 3 \\13Crude Oil WTI & $\Delta$RV & Novelty & 8.20 & 2.26 & 0.025 & 0.068 & 0.009 & -- & 0.000 & 4 \\14Crude Oil WTI & $\Delta$RV & St. $\times$ Nov. & -8.61 & -2.39 & 0.018 & 0.212 & 0.014 & -- & 0.002 & 3 \\15Dollar Index & $\Delta$RV & Stance & -1.65 & -1.83 & 0.069 & 0.260 & 0.095 & -- & 0.014 & 3 \\16Dollar Index & $\Delta$RV & Novelty & 1.15 & 1.06 & 0.293 & 0.069 & 0.366 & -- & 0.014 & 2 \\17Dollar Index & $\Delta$RV & St. $\times$ Nov. & -1.20 & -0.86 & 0.392 & 0.124 & 0.469 & -- & 0.047 & 1 \\18E-mini S\&P 500 & $\Delta$RV & Stance & -4.94 & -3.22 & 0.002 & 0.584 & 0.011 & -- & 0.019 & 3 \\19E-mini S\&P 500 & $\Delta$RV & Novelty & 6.82 & 2.00 & 0.048 & 0.013 & 0.028 & -- & 0.002 & 4 \\20E-mini S\&P 500 & $\Delta$RV & St. $\times$ Nov. & -5.32 & -1.69 & 0.094 & 0.150 & 0.167 & -- & 0.024 & 2 \\21Gold & $\Delta$RV & Stance & -1.05 & -0.55 & 0.583 & 0.692 & 0.602 & -- & 0.561 & 0 \\22Gold & $\Delta$RV & Novelty & 3.34 & 2.48 & 0.014 & 0.318 & 0.056 & -- & 0.021 & 3 \\23Gold & $\Delta$RV & St. $\times$ Nov. & -4.68 & -1.49 & 0.138 & 0.266 & 0.117 & -- & 0.025 & 1 \\24VIX Futures & $\Delta$RV & Stance & -2.80 & -0.46 & 0.644 & 0.659 & 0.580 & -- & 0.619 & 0 \\25VIX Futures & $\Delta$RV & Novelty & 3.42 & 0.57 & 0.568 & 0.492 & 0.486 & -- & 0.382 & 0 \\26VIX Futures & $\Delta$RV & St. $\times$ Nov. & -7.96 & -3.12 & 0.002 & 0.601 & 0.058 & -- & 0.067 & 3 \\275Y T-Note & $\Delta$RV & Stance & -1.30 & -2.04 & 0.043 & 0.236 & 0.235 & -- & 0.050 & 2 \\285Y T-Note & $\Delta$RV & Novelty & 0.94 & 1.13 & 0.260 & 0.203 & 0.235 & -- & 0.041 & 1 \\295Y T-Note & $\Delta$RV & St. $\times$ Nov. & -2.48 & -2.22 & 0.028 & 0.070 & 0.149 & -- & 0.004 & 3 \\3010Y T-Note & $\Delta$RV & Stance & -1.50 & -2.10 & 0.038 & 0.210 & 0.210 & -- & 0.025 & 2 \\3110Y T-Note & $\Delta$RV & Novelty & 0.70 & 0.87 & 0.388 & 0.314 & 0.313 & -- & 0.082 & 1 \\3210Y T-Note & $\Delta$RV & St. $\times$ Nov. & -1.66 & -1.99 & 0.048 & 0.135 & 0.250 & -- & 0.013 & 2 \\33\midrule34Crude Oil WTI & $\Delta\log$RV & Stance & -2.1849 & -2.04 & 0.043 & 0.442 & 0.035 & -- & 0.022 & 3 \\35Crude Oil WTI & $\Delta\log$RV & Novelty & 0.8902 & 2.15 & 0.033 & 0.614 & 0.086 & -- & 0.135 & 2 \\36Crude Oil WTI & $\Delta\log$RV & St. $\times$ Nov. & -0.7406 & -1.18 & 0.240 & 0.650 & 0.203 & -- & 0.326 & 0 \\37Dollar Index & $\Delta\log$RV & Stance & -0.9082 & -1.79 & 0.075 & 0.337 & 0.121 & -- & 0.041 & 2 \\38Dollar Index & $\Delta\log$RV & Novelty & 0.5076 & 0.95 & 0.345 & 0.209 & 0.478 & -- & 0.064 & 1 \\39Dollar Index & $\Delta\log$RV & St. $\times$ Nov. & -0.3540 & -0.46 & 0.649 & 0.464 & 0.673 & -- & 0.247 & 0 \\40E-mini S\&P 500 & $\Delta\log$RV & Stance & -2.9143 & -2.86 & 0.005 & 0.716 & 0.001 & -- & 0.004 & 3 \\41E-mini S\&P 500 & $\Delta\log$RV & Novelty & 0.3441 & 0.57 & 0.570 & 0.639 & 0.609 & -- & 0.577 & 0 \\42E-mini S\&P 500 & $\Delta\log$RV & St. $\times$ Nov. & -0.6767 & -1.02 & 0.311 & 0.644 & 0.249 & -- & 0.389 & 0 \\43Gold & $\Delta\log$RV & Stance & -1.7794 & -1.67 & 0.098 & 0.433 & 0.093 & -- & 0.066 & 3 \\44Gold & $\Delta\log$RV & Novelty & 0.7810 & 1.97 & 0.051 & 0.583 & 0.120 & -- & 0.168 & 1 \\45Gold & $\Delta\log$RV & St. $\times$ Nov. & -0.6972 & -1.09 & 0.275 & 0.618 & 0.236 & -- & 0.334 & 0 \\46VIX Futures & $\Delta\log$RV & Stance & -0.8191 & -0.45 & 0.655 & 0.610 & 0.563 & -- & 0.558 & 0 \\47VIX Futures & $\Delta\log$RV & Novelty & -0.2304 & -0.24 & 0.810 & 0.816 & 0.794 & -- & 0.817 & 0 \\48VIX Futures & $\Delta\log$RV & St. $\times$ Nov. & -1.5107 & -2.11 & 0.037 & 0.781 & 0.037 & -- & 0.192 & 2 \\495Y T-Note & $\Delta\log$RV & Stance & -2.3930 & -2.24 & 0.026 & 0.545 & 0.012 & -- & 0.014 & 3 \\505Y T-Note & $\Delta\log$RV & Novelty & -0.6468 & -1.21 & 0.227 & 0.624 & 0.164 & -- & 0.293 & 0 \\515Y T-Note & $\Delta\log$RV & St. $\times$ Nov. & -1.0850 & -2.16 & 0.032 & 0.827 & 0.024 & -- & 0.163 & 2 \\5210Y T-Note & $\Delta\log$RV & Stance & -2.5521 & -2.31 & 0.022 & 0.504 & 0.010 & -- & 0.012 & 3 \\5310Y T-Note & $\Delta\log$RV & Novelty & -0.7730 & -1.42 & 0.157 & 0.697 & 0.090 & -- & 0.224 & 1 \\5410Y T-Note & $\Delta\log$RV & St. $\times$ Nov. & -1.0145 & -1.92 & 0.057 & 0.791 & 0.044 & -- & 0.205 & 2 \\55\bottomrule56\end{tabular}57\begin{tablenotes}[flushleft]58\scriptsize59\item \textit{Notes:} This table reports multi-method robustness results for the event-level interaction model $\Delta Y_i = \alpha + \beta_1 \text{Stance}_i + \beta_2 \text{Novelty}_i + \beta_3 (\text{Stance}_i \times \text{Novelty}_i) + \varepsilon_i$ using 30-minute rolling windows. The upper panel reports $\Delta$RV coefficients in basis points; the lower panel reports $\Delta\log$RV coefficients in native units. All regressors are z-scored. Five inference methods are compared: $p_{\text{NW}}$ = Newey--West HAC; $p_{\text{Boot}}$ = wild bootstrap (1,999 replications, Rademacher weights); $p_{\text{Clust}}$ = clustered by event date (HC1); $p_{\text{QReg}}$ = quantile regression at median ($\tau = 0.5$); $p_{\text{Perm}}$ = permutation test (4,999 replications). \#Sig = number of methods yielding $p < 0.10$. A coefficient is considered robust when $\#\text{Sig} \geq 3$. Stance effects on $\Delta\log$RV are significant for 5 of 7 contracts with $\#\text{Sig} \geq 3$, confirming the volatility channel.60\end{tablenotes}61\end{threeparttable}62\end{table}63\end{landscape}64