In his seminal article, Samuelson (1965) proposes the maturity effect that volatility of futures prices should increase …

reasons for and the impact of the strong rise in volatility provoked an intensive debate in the media as well as in the … futures markets does not seem to be appropriate. Therefore, the aim of this study is to investigate the volatility spillover … futures contracts for corn, cotton, and wheat and estimate GARCH-in-mean VAR models in the tradition of Elder (2003). Our …

demand and supply conditions. In three out of the four investigated cases, exchange rate posed as a main source of risk for … the commodity futures price. The significance and form of volatility spill-over effects of a bilateral exchange rate are …

daily Eurozone stock market returns during a recent period. Wavelet multiple correlation analysis reveals the existence of a …

We investigate the role of jumps in transmitting volatility between foreign exchange markets (Engle, Ito, and Lin, 1990 … different implications for the impact of jumps on exchange rate volatility transmission. Specifically, isolated and successive … jumps have opposite predictions for future volatility. Although the realized volatility literature finds that heat wave …

The main goal of this study is to investigate the asymmetric impact of innovations on volatility in the case of the US …

The study of significant deterministic seasonal patterns in financial asset returns is of high importance to academia … and investors. This paper analyzes the presence of seasonal daily patterns in the VIX and S&P 500 returns series using a … not in the daily S&P 500 log-returns series. In particular, we find an inverted Monday effect in the VIX level and changes …

take into account risk-return considerations. Empirical results indicate that dynamic hedging provides superior gains (in … reducing the variance portfolio) compared to those obtained from static hedging, when adjustment costs are not taken into …'s increased preference over risk. …

influenced by the spot volatility. This negative impact of spot volatility is also verified for the risk premium, with the latter … test the risk premium and convenience yield for CO2 contracts accordingly to previous economic theories, for the period … convenience yield on the risk premium for the ECX French market and for Phase II contracts, leading us to conclude that results …

growing feedstock for ethanol (corn, sorghum, wheat, sugarcane, and other grains) and major crops competing with feedstock for … Brazil ethanol use and production chiefly affects land used for sugarcane production in Brazil and to a lesser extent in …