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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

Tail dependence structure and extreme risk spillover effects between the international agricultural futures and spot markets

Dai, Yun-Shi; Dai, Peng-Fei; Zhou, Wei-Xing - In: Journal of international financial markets, … 88 (2023), pp. 1-24

Persistent link: https://www.econbiz.de/10014482970

A dynamic model of hedging and speculation in the commodity futures markets

Cifarelli, Giulio; Paladino, Giovanna - In: Journal of financial markets 25 (2015), pp. 1-15

Persistent link: https://www.econbiz.de/10011477250

Application of a stochastic price modeling method to energy commodities and their derivative contracts

Lin, Tao - 2007

Persistent link: https://www.econbiz.de/10003724298

Information transmission between bitcoin derivatives and spot markets : high-frequency causality analysis with Fourier approximation

Cagli, Efe Çaglar; Mandacı, Pınar Evrım - In: Economics and Business Letters : EBL 10 (2021) 4, pp. 394-402

Persistent link: https://www.econbiz.de/10013169260

Impacts of Derivative Markets on Spot Market Volatility and Their Persistence

Han, Chulwoo - 2014

In this article, I investigate the impacts of futures and options markets on the volatility of the underlying market … previous findings. it suggests that the impacts on the spot market volatility depends on the quality of new information … generated by derivatives trading. Futures market reduces spot market volatility by providing new, material information, but …

Persistent link: https://www.econbiz.de/10013055131