derivatives markets. These hedging instruments include natural gas futures and options, as well as Exchange Traded Fund (ETF … spot, futures and ETF markets using the multivariate conditional volatility diagonal BEKK model. The data used include … natural gas spot and futures returns data from two major international natural gas derivatives markets, namely NYMEX (USA) and …

oil derivatives, specifically futures, and stock index returns in UK and USA. The paper will also analyze the Chinese …

For forecasting volatility of futures returns, the paper proposes an indirect method based on the relationship between … futures and the underlying asset for the returns and time-varying volatility. For volatility forecasting, the paper considers …. Empirical results for Nikkei 225 futures indicate that the adjusted R2 supports the appropriateness of the indirect method, and …

This paper is the first to discuss the design of futures hedging strategies in European natural gas markets (NBP, TTF … values of the basis (futures price minus spot price). This fact remain true for short (a week) and long (one, three and six …

This paper documents the existence of a significant forecast error on crude oil futures. We interpret it as a risk … considered business cycle indicator. An out-of-the-sample prediction exercise reveals that futures adjusted to take into account … this time-varying component produce significantly better forecasts than those of unadjusted futures, of futures adjusted …

For forecasting volatility of futures returns, the paper proposes an indirect method based on the relationship between … futures and the underlying asset for the returns and time-varying volatility. For volatility forecasting, the paper considers …. Empirical results for Nikkei 225 futures indicate that the adjusted R2 supports the appropriateness of the indirect method, and …