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Samuelson's conjecture holds for commodity futures but not for financial futures
Houthakker, Hendrik S. - 1994
Persistent link: https://www.econbiz.de/10000889380
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The demand for a risky asset whose price is stochastically related to a price of consumption good
Pines, David; Schwartz, Abba - 1985
Persistent link: https://www.econbiz.de/10000798959
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Option based assessments of expected price distributions
Sherrick, Bruce J. - 1989
Persistent link: https://www.econbiz.de/10000813301
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A further examination of the relationship between forward and futures contracts
Ha, Tae-hyung - 1992
Persistent link: https://www.econbiz.de/10000876916
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Manipulation of metals futures : lessons from sumitomo
Gilbert, Christopher L. - 1997
Persistent link: https://www.econbiz.de/10000619050
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The valuation of power futures based on optimal dispatch
De Maere d'Aertrycke, Gauthier; Smeers, Yves - 2009
Persistent link: https://www.econbiz.de/10003850944
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Do firms sell forward for strategic reasons? : an application to the wholesale market for natural gas
Eijkel, Remco van; Moraga-González, José Luis - 2010
Building on a model of the interaction of risk-averse frms that compete in forward and spot markets, we develop an empirical strategy to test whether oligopolistic frms use forward contracts for strategic motives, for risk-hedging, or for both. An increase in the number of players weakens the...
Persistent link: https://www.econbiz.de/10011380799
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The effects of margin changes on commodity futures markets
Daskalaki, Charoula; Skiadopoulos, George - 2014 - This draft: 24 October 2014
In light of the recently passed 2010 Dodd-Frank Act, we assess the effect of margin changes on prices, the risk-sharing between speculators and hedgers, and the price stability of 20 commodity futures markets. We find that margin increases decrease the rate at which prices change, yet they...
Persistent link: https://www.econbiz.de/10010472794
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Illiquidity transmission from spot to futures markets
Korn, Olaf; Krischak, Paolo; Theissen, Erik - 2014
results support our model. In particular, they show that the derivative hedge theory is important for the explanation of the …We develop a model of the illiquidity transmission from spot to futures markets that formalizes the derivative hedge … theory proposed by Cho and Engle (1999). The model shows that spot market illiquidity does not translate one-to-one to the …
Persistent link: https://www.econbiz.de/10010399342
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An empirical test of the effect of basis risk on cash market positions
Netz, Janet S. - 1995
Persistent link: https://www.econbiz.de/10000907696