metal price series is investigated, as well as time-varying volatility. The results demonstrate that allowing for jumps and … time-varying volatility provides statistically important improvements in the modelling or prices, relative to GBM. These … complex processes contributed to the fatness of the tails in the distribution of heavy metal price returns. …

We explore optimal hedge ratios and hedging effectiveness for the German electricity market. Given the increasing … in order to account for risk reduction through hedging. Results allow us to conclude that: dynamic hedging strategies … provide higher variance reductions in terms of hedging effectiveness; there is poor correlation among spot and futures, not …

persistence of volatility and the leverage effect across metal markets taking into account the presence of outliers, and second we …This study investigates the price volatility of metals, using the GARCH and GJR models. First we examine the … estimate the effects of oil price shocks on the price volatility of metals, allowing for the asymmetric responses. We use daily …

futures price volatility of existing gold futures with two contract sizes, 50 baht-weight and 10 baht-weight, using symmetric … modelling gold futures price volatility. The results confirm that the coming into market of Gold-D significantly reduces the … price volatility of existing gold futures. There is not a significant negative relationship between the introduction of Gold …