metal price series is investigated, as well as time-varying volatility. The results demonstrate that allowing for jumps and … time-varying volatility provides statistically important improvements in the modelling or prices, relative to GBM. These … complex processes contributed to the fatness of the tails in the distribution of heavy metal price returns. …

We explore optimal hedge ratios and hedging effectiveness for the German electricity market. Given the increasing … in order to account for risk reduction through hedging. Results allow us to conclude that: dynamic hedging strategies … provide higher variance reductions in terms of hedging effectiveness; there is poor correlation among spot and futures, not …

futures price volatility of existing gold futures with two contract sizes, 50 baht-weight and 10 baht-weight, using symmetric … modelling gold futures price volatility. The results confirm that the coming into market of Gold-D significantly reduces the … price volatility of existing gold futures. There is not a significant negative relationship between the introduction of Gold …