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 …

-BEKK model introduced by Engle and Kroner (1995) is employed to analyze the volatility transmission structure. We identify the … is observed. Furthermore we detect unidirectional volatility transmission from the futures to the spot market at highest …

randomly,” Industrial Management Review 6, 41–49.] proposes the maturity effect that the volatility of futures prices should …

This paper considers the Samuelson hypothesis, which argues that the futures price volatility increases as the futures …

jointly accounts for stock returns as well as prices of equity and volatility options. Finally, we provide numerical results …Derivatives, especially equity and volatility options, contain valuable and oftentimes essential information for … estimating stochastic volatility models. Absent strong assumptions, their typically highly nonlinear pricing dependence on the …

We adopt Schwartz and Smith’s model (2000) to calculate risk measures of Brent oil futures contracts and light sweet … crude oil (WTI) futures contracts and Mirantes, Poblacion and Serna’s model (2012) to calculate risk measures of natural gas … models provide satisfactory risk measures for listed energy commodity futures contracts. A simple estimation method …

serves as a risk management tool for all of the cities in the same climatic zone, we compare the risk hedging power between …) contract, is introduced. The objective is to increase the risk management efficiency in the agricultural sector of China and to …

The calculation of the capital charge for CVA risk, as required by the Basel Committee on Banking Supervision, is … usually rather unstable due to the volatility of CDS spreads. Since credit derivatives on single names are not very liquid …, the implied adjustments in capital charges could be reduced by hedging a credit derivative portfolio with a contrary …

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 …

The CME Globex Corn futures Time and Sales data, during the United States Department of Agriculture, USDA, news, are …