This study introduces a non linear model for commodity futures prices which accounts for the pressures due to hedging …, characterized by a stronger impact of speculation on futures return dynamics. … equilibrium relationship holds between futures and spot pricing. Over the 1990-2010 time period, a dynamic interaction between …

This study introduces a non linear model for commodity futures prices which accounts for pressures due to hedging and … relationship holds between futures and spot pricing. Over the 1990-2010 time period, a dynamic interaction between spot and futures … relationship for the cash returns and a non linear parameterization of the corresponding futures returns are combined with a …

A significant increase in the level and volatility of many commodity prices over the past decade has led to a debate … level and volatility of commodity prices. The available evidence suggests that while financial investors can affect the … short-run price dynamics for some commodities, the level and volatility of commodity prices appear to be primarily …

capital flows driven by “herding,” “flocking,” and “contagion.” Policies to deal with volatility by weakening, or even … disabling speculation, have been based largely on anecdote, convenience (speculators have long served as scapegoats for various …, to volatility. The paper utilizes a large, detailed database on individual trader positions in crude-oil and heating …

transform, the rise and fall of S&P500 variance futures, predicting volatility using Markov switching multifractal model … cor-relations and volatility spillovers between crude oil and stock index returns, pricing exotic options using the Wang … approach, forecasting volatility via stock return, range, trading volume and spillover effects: the case of Brazil, estimating …

, the rise and fall of S&P500 variance futures, predicting volatility using Markov switching multifractal model: evidence … correlations and volatility spillovers between crude oil and stock index returns, pricing exotic options using the Wang transform …, forecasting volatility via stock return, range, trading volume and spillover effects: the case of Brazil, estimating and …

, the rise and fall of S&P500 variance futures, predicting volatility using Markov switching multifractal model: evidence … correlations and volatility spillovers between crude oil and stock index returns, pricing exotic options using the Wang transform …, forecasting volatility via stock return, range, trading volume and spillover effects: the case of Brazil, estimating and …

, the rise and fall of S&P500 variance futures, predicting volatility using Markov switching multifractal model: evidence … correlations and volatility spillovers between crude oil and stock index returns, pricing exotic options using the Wang transform …, forecasting volatility via stock return, range, trading volume and spillover effects: the case of Brazil, estimating and …

, the rise and fall of S&P500 variance futures, predicting volatility using Markov switching multifractal model: evidence … correlations and volatility spillovers between crude oil and stock index returns, pricing exotic options using the Wang transform …, forecasting volatility via stock return, range, trading volume and spillover effects: the case of Brazil, estimating and …