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The forecasting accuracy of implied volatility from ECX carbon options

Viteva, Svetlana; Veld-Merkoulova, Yulia V.; Campbell, Kevin - In: Energy Economics 45 (2014) C, pp. 475-484

This study analyzes the forecasting accuracy of the implied volatility of options on futures contracts for the delivery … of CO2 emission allowances (carbon options) traded on the European Climate Exchange. We demonstrate that option implied … volatility is highly informative about the variance of returns realized over the remaining life of the options. It is also …

Persistent link: https://www.econbiz.de/10010939429

Testing the Masters Hypothesis in commodity futures markets

Irwin, Scott H.; Sanders, Dwight R. - In: Energy Economics 34 (2012) 1, pp. 256-269

The ‘Masters Hypothesis’ is the claim that long-only index investment was a major driver of the 2007–2008 spike in commodity futures prices and energy futures prices in particular. Index position data compiled by the CFTC are carefully compared. In the energy markets, index position...

Persistent link: https://www.econbiz.de/10010868776

Quantitative analysis of feasibility of hydrous ethanol futures contracts in Brazil

Quintino, Derick David; David, Sergio Adriani - In: Energy Economics 40 (2013) C, pp. 927-935

Brazil's first ethanol futures contract, which was implemented in 2000, failed to offer sufficient liquidity to attract market agents. The purpose of this study is to determine whether the new ethanol futures contracts launched by BMF-BOVESPA in 2010 meet the requirements to render them...

Persistent link: https://www.econbiz.de/10010718773

Energy futures prices and commodity index investment: New evidence from firm-level position data

Sanders, Dwight R.; Irwin, Scott H. - In: Energy Economics 46 (2014) S1, pp. 57-57

This study brings fresh data to the highly-charged debate about the price impact of long-only index investment in energy futures markets. We use high frequency daily position data for NYMEX crude oil, heating oil, RBOB gasoline, and natural gas that are available from a representative large...

Persistent link: https://www.econbiz.de/10011115923