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Hamilton, James D. - 2013

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...

Persistent link: https://www.econbiz.de/10013081835

Macro-Hedging for Commodity Exporters

Borensztein, Eduardo - 2010

domestic welfare through two channels. First, by reducing export income volatility and allowing for a smoother consumption path …

Persistent link: https://www.econbiz.de/10013150436

Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives

Trolle, Anders B. - 2007

We conduct a comprehensive analysis of unspanned stochastic volatility in commodity markets in general and the crude …-oil market in particular. We present model-free results that strongly suggest the presence of unspanned stochastic volatility in … stochastic volatility. The model features correlations between innovations to futures prices and volatility, quasi …

Persistent link: https://www.econbiz.de/10012778140

Financialization in Commodity Markets

Chari, Varadarajan V. - 2017

an increase in the level and volatility of spot prices. We construct a large panel data set which includes commodities …

Persistent link: https://www.econbiz.de/10012948088

Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets

Diebold, Francis X. - 2010

formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates … evidence of divergent behavior in the dynamics of return spillovers vs. volatility spillovers: Return spillovers display a … gently increasing trend but no bursts, whereas volatility spillovers display no trend but clear bursts …

Persistent link: https://www.econbiz.de/10012759516

High-Frequency, Algorithmic Spillovers between NASDAQ and Forex

Ito, Takatoshi - 2015

We empirically examine the order flows spillovers between Nasdaq and the Forex markets in 2008 and 2009. With emphasis on a role of high-frequency traders (HFTs) who aggregate information between the two markets as well as within each market, our results show that HFTs in Nasdaq trade...

Persistent link: https://www.econbiz.de/10013023679

Limits to Arbitrage and Hedging : Evidence from Commodity Markets

Acharya, Viral V. - 2011

Motivated by the literature on limits-to-arbitrage, we build an equilibrium model of commodity markets in which speculators are capital constrained, and commodity producers have hedging demands for commodity futures. Increases (decreases) in producers' hedging demand (speculators' risk-capacity)...

Persistent link: https://www.econbiz.de/10013128612

Index Investment and Financialization of Commodities

Tang, Ke - 2010

This paper finds that, concurrent with the rapid growing index investment in commodities markets since early 2000s, futures prices of different commodities in the US became increasingly correlated with each other and this trend was significantly more pronounced for commodities in the two popular...

Persistent link: https://www.econbiz.de/10013137731

Convective Risk Flows in Commodity Futures Markets

Cheng, Ing-Haw - 2012

This paper analyzes the joint responses of commodity futures prices and traders' futures positions to changes in the VIX before and after the recent financial crisis. We find that while financial traders accommodate the needs of commercial hedgers in normal times, in times of distress, financial...

Persistent link: https://www.econbiz.de/10013108607

Bubble Troubles? Rational Storage, Mean Reversion and Runs in Commodity Prices

Bobenrieth H., Eugenio S. - 2013

, including influential studies identifying price bubbles in periods of high volatility. Here we consider a model of the market …

Persistent link: https://www.econbiz.de/10013082152

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