We use the Commodity Futures Trading Commission’s Commitment of Traders report to investigate the trading behaviour of traders in 12 commodity futures markets. We find that commercial traders are contrarian, consistent with the prevalence of short hedgers, while non-commercial traders follow...

This study discusses a pricing framework for perpetual futures in collection-based Non-Fungible Tokens (NFTs) which represent unique digital assets in a low liquidity and high price volatility environment. The collection could be viewed as the broad family to which an NFT belongs and the NFTs...

In this study, we use high-frequency microstructure components to explore commodity ETF herding. We employ a new GARCH model incorporating cross-sectional and market volatility at 15-, 30-, 45-, and 60-minute intervals. We document that during market instability and the COVID-19 pandemic,...

We investigate how accurate leveraged and inverse ETFs are in delivering their intended single-day returns and add much-needed context to the analysis of leveraged ETF performance. We demonstrate that these funds exhibit predictable deviations in returns relative to their target and design a...

This paper examines volatility transmission between the spot and futures bitcoin markets. We use daily series over a sampling period that spans from December 2017 to September 2022. We examine several events that spread severe risk in cryptomarkets, such as the COVID-19 pandemic in 2020,...

This paper presents a joint analysis of the term structure of credit default swap (CDS) spreads and the implied volatility surface for European countries during 2007-2012, a sample period covering both the Global Financial Crisis and the European debt crisis. We analyze to which extent...

This paper presents a joint analysis of the term structure of credit default swap (CDS) spreads and the implied volatility surface. The rapid development of the CDS market has provided convenient products to extract credit risk, and its interaction with equity volatility has been analyzed in...