This article evaluates the performance of filter rules on four Asian exchange rates against the U.S. dollar. Risk premiums derived from the choice under uncertainty model and the GARCH specification are used to construct the risk-adjusted return series. Results show that risk premiums have...

Since trading cannot take place continuously, the optimal portfolio calculated ina continuous-time model cannot be held, but the investor has to implement thecontinuous-time strategy in discrete time. This leads to the question how severe theresulting discretization error is. We analyze this...

The paper investigates the extent to which the dollar/sterling exchange rate fluctuations affect coffee and cocoa futures prices on the London LIFFE and the New York CSCE by means of multivariate GARCH models - under the assumption that traders in perfectly competitive markets have equal access...

Die Zielsetzung der Studie besteht darin, durch Anwendung ökonometrischer Verfahren und Durchführung einer Primärerhebung fundierte Erkenntnisse zur Bedeutung von Agrarterminmärkten für Preisbildungsmechanismen auf deutschen Kassamärkten und Informationen zur Nutzung von Terminkontrakten...

Commodity prices are significantly more volatile than prices of industrial products. The main functions of futures trading being hedging against, and speculation on price fluctuations; and it is hedging, that determines the role of speculation.

A parimutuel market microstructure for contingent claims trading is proposed and analyzed. A parimutuel microstructure is a call auction where relative equilibrium prices of contingent claims are endogenously determined using a specific mechanism. We propose a market microstructure incorporating...

In den vergangenen Jahren haben sich einige Grundnahrungsmittel durch Preisschocks stark verteuert und so Hungersnöte in ärmeren Regionen potentiell begünstigt. Diese Arbeit erläutert zunächst die relevanten Gegebenheiten und jüngeren Entwicklungen, bevor sie die extrem kontroverse...