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Volatility and the hedging effectiveness of China fuel oil futures
Chen, Wei; Ford, James L. - 2010
Persistent link: https://www.econbiz.de/10009374212
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Volatility Spillover from World Oil Spot Markets to Aggregate and Electricity Stock Index Returns in Turkey
Soytas, Ugur - 2020
This study examines the inter-temporal links between world oil prices, ISE 100 and ISE electricity index returns unadjusted and adjusted for market effects. The traditional approaches could not detect a causal relationship running from oil returns to any of the stock returns. However, when we...
Persistent link: https://www.econbiz.de/10012857517
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What effect did the introduction of Bitcoin futures have on the Bitcoin spot market?
Jalan, Akanksha; Matkovskyy, Roman; Urquhart, Andrew - In: The European journal of finance 27 (2021) 13, pp. 1251-1281
Persistent link: https://www.econbiz.de/10012653090
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Modeling carbon spot and futures price returns with GARCH and Markov switching GARCH models : evidence from the first commitment period (2008-2012)
Zeitlberger, Alexander C. M.; Brauneis, Alexander - In: Central European journal of operations research : CEJOR … 24 (2016) 1, pp. 149-176
Persistent link: https://www.econbiz.de/10011665786
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Return and volatility spillover effects in agricultural commodity markets
Bernhardt, Matthias - 2017
This paper provides insights into agricultural commodity markets in terms of return and volatility spillover effects … risk in spot return’s volatility and spot returns itself, respectively. During the study the VAR(1)-GARCH-ABEKK(1,1)-in … of return and volatility linkages between agricultural commodities. Based on the model results optimal dynamic portfolio …
Persistent link: https://www.econbiz.de/10011761782
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The impact of index future introduction on spot market returns and trading volume : evidence from Ho Chi Minh stock exchange
Nguyen Thi Kim Anh; Loc Dong Truong - In: Journal of Asian finance, economics and business : JAFEB 7 (2020) 8, pp. 51-59
Persistent link: https://www.econbiz.de/10012670603
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Does the introduction of the derivatives affect the underlying return volatility? : (case of the EURO)
Mamoghli, Chokri; Ochi, Wejda - In: Finance India : the quarterly journal of Indian … 22 (2008) 4, pp. 1355-1367
Persistent link: https://www.econbiz.de/10009419988
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A Testing of Lead-Lag Relationship between Nifty Spot and Futures Index Returns and Volatility
Patra, Dr. Govind; Mohapatra, S R - 2022
interdependence (in both direction) and therefore symmetric spillovers among the stock return volatility in the spot and futures …
Persistent link: https://www.econbiz.de/10014244650
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Impact of individual stock derivatives introduction in India on its underlying spot market volatility
Nandy, Suparna; Chattopadhyay, Arup Kumar - In: Asia-Pacific journal of management research and … 12 (2016) 2, pp. 109-133
Persistent link: https://www.econbiz.de/10011720262
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Range-based volatility estimation and forecasting
Benčík, Daniel - 2014
prices. We empirically assess efficiency gains in volatility estimation when using range-based estimators as opposed to … simple daily ranges and explore the use of these more efficient volatility measures as predictors of daily ranges. The array … forecasts are produced by a realized range based HAR model with a GARCH volatility-of-volatility component. …
Persistent link: https://www.econbiz.de/10010461231