can explain short-run crude oil price dynamics, including those related with the COVID-19 pandemic and with the Russia … structural parameters of interest, such as supply and demand elasticises. Our model incorporates both the futures-spot price … spread to capture shocks to the real price of crude oil driven by changes in expectations and US inventories to describe …

CCC and DCC multivariate GARCH models, we find that financial speculation is poorly significant in modelling returns in … ; Futures Markets ; Financial Speculation ; Multivariate GARCH …

composed by heterogeneous traders which behave differently depending on the intensity of the price fluctuations and uncertainty …

This paper evaluates how different types of speculation affect the volatility of commodities' futures prices. We adopt …-2010 analyzed at weekly frequency. Using GARCH models we find that speculation significantly affects volatility of returns: short … term speculation has a positive and significant impact on volatility, while long term speculation generally has a negative …

type of the structural shock of interest. Understanding the response of the risk premium to unexpected changes in the price … premium and unexpected rise in the price of oil? On average, what should speculators expect to receive as a compensation for … risk premium and the changes in the price of oil triggered by shocks to economic fundamentals. Second, this analysis shows …

the prices of stocks and exploit a company-level data set to compare the actual and the theoretical price reactions. We … not properly react to unambiguous corporate actions. -- Speculation ; Chinese Stock Market ; Market segmentation ; Event …

focused on the definition of speculation while others examined the relationship between oil prices and the behavior of trading … actors. In this paper, we formulate a new theory able to describe "hedging needs" as well as the role of speculators in the … against abrupt oil price changes can be satisfied only if speculators play a very active role. Due to the rapid growth in …

-sharing between speculators and hedgers, and the price stability of 20 commodity futures markets. We find that margin increases …