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Does the design of spot markets matter for the success of futures markets? : evidence from dairy futures
Białkowski, Je̜drzej; Koeman, Jan - 2017
Persistent link: https://www.econbiz.de/10011886644
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Bayesian predictive distributions of oil returns using mixed data sampling volatility models
Virbickaite, Audrone; Nguyen, Hoang; Minh-Ngoc Tran - 2023
Bayesian estimation approach called the density-tempered sequential Monte Carlo method. Our findings indicate that the …
Persistent link: https://www.econbiz.de/10014252427
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The rise and fall of S&P 500 variance futures
Chang, Chia-Lin; Jimenez-Martin, Juan-Angel; McAleer, … - 2011 - Rev.
Persistent link: https://www.econbiz.de/10009413649
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Implied volatility from options on gold futures : do statistical forecasts add value or simply paint the lilly?
Neely, Christopher J. (contributor) - 2003 - [Elektronische Ressource], rev
Persistent link: https://www.econbiz.de/10001982800
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Determinants of trading activity on the single-stock futures market : evidence from the Eurex exchange
Białkowski, Je̜drzej; Jakubowski, Jacek - 2017
Persistent link: https://www.econbiz.de/10011886558
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Negative correlation between stock and futures returns : an unexploited hedging opportunity?
Basu, Parantap; Gavin, William T. - 2011
For over a decade, academic and industry economists argued that the negative correlation between returns on stocks and commodity futures was evidence that institutional investors should add commodity futures index funds as an asset class in their portfolio management strategies. Does this...
Persistent link: https://www.econbiz.de/10008840951
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Pricing and hedging illiquid energy derivatives : an application to the JCC index
Scarpa, Elisa (contributor); Manera, Matteo (contributor) - 2006
Persistent link: https://www.econbiz.de/10003605624
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The effects of margin changes on commodity futures markets
Daskalaki, Charoula; Skiadopoulos, George - 2014 - This draft: 24 October 2014
In light of the recently passed 2010 Dodd-Frank Act, we assess the effect of margin changes on prices, the risk-sharing between speculators and hedgers, and the price stability of 20 commodity futures markets. We find that margin increases decrease the rate at which prices change, yet they...
Persistent link: https://www.econbiz.de/10010472794
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European natural gas seasonal effects on futures hedging
Martínez, Beatriz; Torró, Hipòlit - 2015
This paper is the first to discuss the design of futures hedging strategies in European natural gas markets (NBP, TTF … that hedging effectiveness is much higher when the seasonal pattern in spot price changes is approximated with lagged … months) hedging periods. Furthermore, volatility of weekly price changes also has a seasonal pattern and is higher in winter …
Persistent link: https://www.econbiz.de/10010479020
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Risk management and financial derivatives : an overview
Hammoudeh, Shawkat; McAleer, Michael - 2012
Persistent link: https://www.econbiz.de/10009562953