established that the gasoline supply in the United States (U.S.) must contain 10% ethanol. This work seeks to identify hedging … ratios using dynamic multivariate GARCH to best identify hedging opportunities in a newly developed futures market. The … ability for firms to hedge and regulators to supervise the ethanol futures market is crucial to both hedging potential losses …

biofuels and other economic and financial factors on daily returns of a group of commodity futures prices using Generalized … complex of drivers are relevant in explaining commodity futures returns; more precisely, the Standard and Poorś (S&P) 500 … positively affects commodity markets, while the US/Euro exchange rate brings about a decline in commodity returns. It turns out …

biofuels and other economic and financial factors on daily returns of a group of commodity futures prices using Generalized … complex of drivers are relevant in explaining commodity futures returns; more precisely, the Standard and Poor's (S&P) 500 … positively affects commodity markets, while the US/Euro exchange rate brings about a decline in commodity returns. It turns out …

obtained from conditional variance of returns in stock exchange with GARCH (1,1) model (except Japan stock exchange volatility …Within the scope of this paper, causalities of the US stock market returns and volatilities on stock market …). Japanese stock exchange volatility is gained with ARCH (1) model because of its coefficients' significances. In our study, we …

countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other … results show that by considering time-varying return and volatility spillovers when calculating the risk-minimising portfolio …This paper investigates the dynamic linkages in terms of the first and second moments between stock and bond returns …

This paper investigates the lead-lag relationship in daily returns and volatilities between price movements of FTSE … bidirectional causality between spot and futures returns, rejecting the usual result of futures leading spot market. However, spot … market seems to play a more important role in price discovery. Volatility spillovers across the two markets are examined by …

This paper estimates a bivariate HEAVY system including daily and intra-daily volatility equations and its macro …-augmented asymmetric power extension. It focuses on economic factors that exacerbate stock market volatility and represent major threats to … commodity markets on stock market realized volatility. Specifically, Economic Policy Uncertainty is shown to be one of the main …

trading hours. Second, shocks to end-of-day quantities of risk lead to increases in overnight expected returns. … predictions from dealer inventory risk models, we find (1) a strong negative link to end-of-day order imbalance; (2) reversals are … amplified in periods of high volatility; and (3) in recent years dealers have increasingly offloaded inventory during Asian …

nonelectronics subindex (NFNE) futures for cross hedging the price risk of stock sector indices traded on the Taiwan stock exchange …. A state-dependent volatility spillover GARCH hedging strategy is developed to capture the regime switching global equity … hedging strategy using only the NFNE futures. This shows the importance of hedging the global equity systematic risk of stock …

This study investigates return and asymmetric volatility spillovers and dynamic correlations between the main and small … pandemic. Return and volatility spillovers are modelled using a VAR-asymmetric BEKK-GARCH (1,1) model, while a VAR … to determine and explore portfolio design and hedging implications. The results show that while bidirectional return …