If commercial producers or financial investors use futures contracts to hedge against commodity price risk, the arbitrageurs who take the other side of the contracts may receive compensation for their assumption of nondiversifiable risk in the form of positive expected returns from their...

In this article we examine the properties of estimates of realized volatility at various intra-daily sampling frequencies for Brent Crude oil futures traded at the IntercontinentalExchange (ICE). The estimates of realized volatility are subsequently modeled and forecasted to predict day-ahead...

If commercial producers or financial investors use futures contracts to hedge against commodity price risk, the arbitrageurs who take the other side of the contracts may receive compensation for their assumption of non-diversifiable risk in the form of positive expected returns from their...

In this paper we propose a simple one-factor quantile regression model based on realized volatility to forecast Value-at-Risk (VaR). The model only uses daily realized volatility as input and thus simplifies estimation substantially compared with most other methodologies currently used to...

For fixed maturity, under the no-arbitrage assumption, futures prices should follow a martingale with respect to the trading time, at least under the pricing measure. Therefore, a prominent display of trading time seasonality under the physical measure raises warning signs and can only occur by...

If commercial producers or financial investors use futures contracts to hedge against commodity price risk, the arbitrageurs who take the other side of the contracts may receive compensation for their assumption of nondiversifiable risk in the form of positive expected returns from their...