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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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Effect of futures trading on spot price volatility: evidence for NSE Nifty using GARCH
Debasish, Sathya Swaroop - In: Afro-Asian Journal of Finance and Accounting : AAJFA 1 (2008) 2, pp. 140-150
Persistent link: https://www.econbiz.de/10003787139
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Forecasting spot price volatility using the short-term forward curve
Haugom, Erik; Ullrich, Carl J. - In: Energy economics 34 (2012) 6, pp. 1826-1833
Persistent link: https://www.econbiz.de/10009687854
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Hedging performance and multiscale relationships in the German electricity spot and futures markets
Madaleno, Mara; Pinho, Carlos - In: Journal of risk and financial management : JRFM 3 (2010) 1, pp. 26-62
We explore optimal hedge ratios and hedging effectiveness for the German electricity market. Given the increasing attention that wavelets received in the financial market, we concentrate on the investigation of the relationship, covariance/coherence evolution and hedge ratio analysis, on a...
Persistent link: https://www.econbiz.de/10011555959
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The asymmetric spillover effect of the Markov switching mechanism from the futures market to the spot market
Chang, Kuang-Liang; Lee, Chingnun - In: International review of economics & finance : IREF 69 (2020), pp. 374-388
Persistent link: https://www.econbiz.de/10012486979
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Effect of crude oil futures trading on spot market volatility : a panel data-based counterfactual prediction analysis
Yao, Xin; Liu, Qiang - In: Emerging markets finance & trade : a journal of the … 53 (2017) 4, pp. 918-931
Persistent link: https://www.econbiz.de/10011764621
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The Effects of index futures trading volume on spot market volatility in a frontier market : evidence from Ho Chi Minh stock exchange
Loc Dong Truong; Friday, H. S.; Nguyen Thi Kim Anh - In: Risks : open access journal 10 (2022) 12, pp. 1-13
This analysis is the first to investigate the influence of index futures trading volume on spot market volatility for … between VN30-Index futures trading volume and the volatility of the spot market for the HOSE in the short-run. In addition … influence on spot market volatility. Moreover, the results derived from the error correction model (ECM) indicate that only 5 …
Persistent link: https://www.econbiz.de/10014230946
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Role of the futures market on volatility and price discovery of the spot market : evidence from Pakistan's stock market
Khan, Safi Ullah - In: The Lahore journal of economics 11 (2006) 2, pp. 107-121
Persistent link: https://www.econbiz.de/10003453504
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Impact of the introduction of futures on spot price volatility, evidence for the S&P CNX nifty index and futures contract using EGARCH
Pradhan, Kailash Chandra - In: International journal of economic research 7 (2010) 1, pp. 79-89
Persistent link: https://www.econbiz.de/10003997847
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Modelling conditional correlations for risk diversification in crude oil markets
Chang, Chia-Lin; McAleer, Michael; Tansuchat, Roengchai - 2009
Persistent link: https://www.econbiz.de/10003877105