prices, returns and volatility of related agricultural commodities. Analyzing the spillover effects on agricultural … commodities and biofuel helps commodity suppliers hedge their portfolios, and manage the risk and co-risk of their biofuel and …. The purpose of this paper is to examine the volatility spillovers for spot and futures returns on bio-ethanol and related …

This paper examines the price discovery and volatility spill-over relationship for Indian commodity markets. We cover … be competitive. Volatility spill-over is confirmed for only three commodities and none of the indices. This implies the … Indian Commodity Market is yet to evolve an efficient risk transfer system for most commodities. The findings have …

volatility are characterised by smaller price impact. Larger levels of price impact are more likely to occur during the middle of …

demonstrate that geopolitical risk plays an important role in determining both oil price volatility and (to a lesser extent) stock … market volatility. An increase in geopolitical risk is associated with positive (negative) oil (stock) returns and is …Geopolitical events are widely reported in the press and may influence the risk premium demanded by investors in …

the EGARCH model and event study methods to study the impact of the major risk event of Sino-US trade friction on soybean … of additional tariffs increased, the volatility of the Chinese soybean futures market declined; however, the volatility … volatility of the US soybean futures market. In addition, while the release of multiple tariff increases has had a short …

The paper examines the performance of various hedging strategies using Options in the Indian options market. The entire … spectrum of option hedging strategies are divided into two categories: 1) Strategies with limited losses and unlimited gains; 2 … study also shows that the profitability can be maximised and the risk can be hedged by employing other metrics like VIX …

further exacerbated by income volatility caused by international commodity price fluctuations, while directional hedging, as a … favourite policy response, has been both costly and ineffective. We propose efficient and effective volatility hedging … contribution is a dynamic overlay futures hedging strategy with substantial reduction in hedging cost. Second, we account for …

If the creditworthiness of a counterparty is a derivative of a commodity price, there is the potential to have right … identification of "Right Way Risk" (RWR). This approach only works if the stock and commodity price are co-integrated. To set the … stage I subsume various models for optimal hedging under one general co-integrated model. In a worked example three models …

We adopt Schwartz and Smith’s model (2000) to calculate risk measures of Brent oil futures contracts and light sweet … crude oil (WTI) futures contracts and Mirantes, Poblacion and Serna’s model (2012) to calculate risk measures of natural gas … models provide satisfactory risk measures for listed energy commodity futures contracts. A simple estimation method …

This paper examines the price discovery and volatility spill-over relationship for Indian commodity markets. We cover … be competitive. Volatility spill-over is confirmed for only three commodities and none of the indices. This implies the … Indian Commodity Market is yet to evolve an efficient risk transfer system for most commodities. The findings have …