This paper estimates the dynamic conditional correlations in the returns on WTI oil one-month forward prices, and one … dynamic correlations enable a determination of whether the forward and various futures returns are substitutes or complements … daily data on WTI oil forward and futures prices, and their associated returns, from 3 January 1985 to 16 January 2004. At …

to maintain the trading margin. In effect, efficient Nifty returns would be achieved. Conclusions: This study found that … the Standard & Poor's CNX Nifty 50 Index futures for data analysis with the application of V-IGARCH (1, 1) two-stage model … returns. The first stage V-IGARCH (1, 1) endogenous mean and conditional variance returns are measured with exogenous factors …

returns. We survey 111 studies, published between 1978 and 2020, with a total of 439 estimates from event studies. Our key … finding is that the average abnormal returns calculated from this empirical literature are affected by a negative publication … followed by statistically significant negative abnormal returns, which suggests the existence of an informational effect …

-of-sample forecasts of the distribution of the returns of various commodity futures portfolios. The Value-at-Risk analysis shows that HAC …This study proposes a novel framework for the joint modelling of commodity forward curves. Its key contribution is …

We first report that one-minute returns on TOPIX have exhibited significant autocorrelation at five-minute intervals …-minute intervals since August 1998. Individual stock returns also exhibit fifth-order autocorrelation, but this disappears when the …

returns will display a GARCH-pattern of behaviour if the number of trades on the stock market during a day are serially …

common and the idiosyncratic part of each series of returns. In this financial analysis, both these components are modeled as …-step-ahead volatility predictions of returns. The GDFM+GARCH model outperforms the standard GARCH in most cases. These results are robust …