. Bitcoin contributes only 2.55% to the connectedness, while the wheat volatility index accounts for 12.51% of the total … transmitter to the wheat volatility, while being the spillover receiver from the oil and corn volatilities. The findings suggest …

(ETFs), amplified the volatility transmission channel introduced by financialization. This paper focuses on the volatility … an impact on the volatility of commodity prices, predominantly for non-energy commodities. However, the impact on … volatility is not symmetric across all commodities. The analysis of index investment and investors’ positions in futures markets …

We explore optimal hedge ratios and hedging effectiveness for the German electricity market. Given the increasing … in order to account for risk reduction through hedging. Results allow us to conclude that: dynamic hedging strategies … provide higher variance reductions in terms of hedging effectiveness; there is poor correlation among spot and futures, not …

use of computational methods and techniques for modelling financial asset prices, returns, and volatility, and on the use … of numerical methods for pricing, hedging, and risk management of financial instruments. …

Prior theory suggests a positive relation between volatility and market depth, while past empirical research finds … contrasting results. This paper examines the relation between the volatility and the limit order book depth in commodity and … negative relation between volatility and depth and suggest that the depth in the limit order book decreases as volatility …

activities, i.e., trading volume and open interest, on the volatility of return for Malaysian Crude Palm Oil Futures. The GARCH … volume and volatility, but that a positive relationship exists between unexpected volume and volatility. On the contrary, the … expected and unexpected open interest mitigate the volatility. Therefore, both trading volume and open interest should be …

variance decomposition (FEVD) spillover framework of Diebold and Yilmaz in the time-frequency domain. Total volatility … for portfolio diversification (hedging) in multi-cap investing during the medium-to-long run (short run) only. Like total … opportunity in the short and long runs. The mid-cap index emerges as the major contributor to total volatility in the system …

This study uses the BEKK-GARCH model to examine the return-and-volatility spillover between the world-leading markets … during the global financial crisis and the crash of the Chinese stock market. Regarding volatility spillover, the results … show the bidirectional volatility transmission between the US and the stock markets of Chile and Mexico during the global …

Since the collapse of the Metallgesellschaft AG due to hedging losses in 1993, energy practitioners have been concerned … hedging long-dated futures and options with their short-dated counterparts, we find that the long-term tracking errors are, on …