, and products, including variance swaps, straddles, and VIX futures. In addition, the paper derives a closed …-form relationship between the prices of variance swaps and VIX futures. While tightly linked, VIX futures exhibit deviations of varying … and their relationship to VIX futures' return predictability. …

By means of a difference-in-differences approach (sigma-DID), we investigate the effect that hedging has on corporate … risk. Examining the relation between hedging and the idiosyncratic variance of stock returns, we show that when new …

hedging errors. In the empirical application, we synthesize the prices of the variance contract on S&P 500 index over the …

We find and describe four futures markets where the bid-ask spread is bid down to the fixed price tick size practically …

the share price of Mexican non-financial corporations, whether such contracts are used for hedging financial risks or for …

Recent papers that have explored spot and futures markets for Bitcoin have concluded that price discovery takes place … either in the spot, or the futures market. Here, we consider the robustness of previous price discovery conclusions by … investigating causal relationships, cointegration and price discovery between spot and futures markets for Bitcoin, using …

In December 2017, both the CBOE and the CME introduced futures contracts on bitcoin. We investigate to what extent they …) and Gonzalo and Granger (1995) and find that the spot price leads the futures price. We attribute this result to the … relatively restricted access to the US based futures markets …

swaps under both backward- and forward-looking information. We finally deduce the optimal mean variance hedging portfolio in … a financial market consisting of a bank account and a VIX futures. In order to have some benchmark model available, we … related VIX index, the VIX futures and a VIX call option …

model implying a negative linear relation between risk-free rates and variance futures prices. The latter are employed as a … futures prices written on the S&P 500 index, indicates that the predictions of the model are supported by the data. The paper …