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 explores empirically the behavior of the Chicago Mercantile Exchange (CME) bitcoin futures contract. The … analysis focuses on the time period between the launch of the CME bitcoin futures contract on December 18, 2017, and September … 17, 2018. The behavior of the bitcoin spot market and CME futures market is compared and analyzed along several …