) incommodity futures price volatility spurious, following Granger?s conjecture? Yes,only two out of eleven commodities are ….Second, do large Index Traders such as commodity pools and pension funds increasefutures price volatility through a large volume … accuracyof term structure models of futures prices by (i) including more state variables tobetter capture maturity and inventory …

Artículo de revista ; On 20 April 2020 the West Texas Intermediate (WTI) oil futures price for May delivery turned … negative for the first time in history. Other crude prices also posted very low values and their volatility soared, far more … than that on stock markets. This article analyses the differences between the spot and futures markets for crude …

volatility on foreign exchange markets. Starting point is the market participant's microeconomic investment decision, which is … trading volume and volatility on foreign exchange markets. We apply various two-country-models with representative market …

into volatility persistence in stock returns. In part two, I show that the introduction of continuous trading on the WSE is … volatility on days after limit hits and positive autocorrelation in stock returns. I do not find significant advantages of this …

-based forecast could not. This paper considers two issues relating to the informational content of the S&P 500 VIX implied volatility …-based forecasts. It is found that the VIX index both subsumes information relating to past jump contributions to total volatility and …-based forecasts. Implied volatility is a market determined forecast, in contrast to model-based forecasts that employ some degree of …

a volatility index for an asset portfolio on which no options have been issued. The methodology allows volatility … methodology and a benchmark portfolio representing the Spanish stock market (IBEX 35) are used to estimate a volatility index for … framework of uncertainty desired. A comparison between this sectoral volatility index and that of the Spanish stock market …

Jahresabschlusspolitik und -analyse darzustellen. These der Dissertation ist hierbei, dass derivative Finanzinstrumente und die mit ihnen …

example, we can define a process such that the stock price moves to a high volatility state and simultaneously has a large … synchronous jumps and price options on such a price process using Fourier transforms. We also test the model on S&P futures …