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Futures basis, inventory and commodity price volatility : an empirical analysis
Symeonidis, Lazaros; Prokopczuk, Marcel; Brooks, Chris; … - In: Economic modelling 29 (2012) 6, pp. 2651-2663
Persistent link: https://www.econbiz.de/10009673627
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Spot return volatility and hedging with futures contract : empirical evidence from the notional commodity futures indicies of India
Kumar, Santhosh; Lagesh, M. A. - In: The IUP journal of behavioral finance : IJBF 8 (2011) 2, pp. 70-85
Persistent link: https://www.econbiz.de/10009295595
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Asymptotic pricing of commodity derivatives using stochastic volatility spot models
Hikspoors, Samuel; Jaimungal, Sebastian - In: Applied mathematical finance 15 (2008) 5/6, pp. 449-477
Persistent link: https://www.econbiz.de/10003815252
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The role of financial speculation in the energy future markets : a new time-varying coefficient approach
Li, Haiqi; Kim, Hyung-Gun; Park, Sung Y. - In: Economic modelling 51 (2015), pp. 112-122
Persistent link: https://www.econbiz.de/10011475857
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Electricity futures prices in an emissions constrained economy : evidence from European power markets
Daskalakis, George; Symeonidis, Lazaros; Markellos, … - In: The energy journal 36 (2015) 3, pp. 1-33
Persistent link: https://www.econbiz.de/10011403464
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Do the Spot Prices Influence the Pricing of Future Contracts? An Empirical Study of Price Volatility of Future Contracts of Select Agricultural Commodities Traded on NCDEX (India)
Kaur, Gurbandini - 2012
were formulated and tested concerning the volatility of spot and future contract prices, effect of Spot closing prices on … volatility has been observed in the prices of spot and future contracts of the chosen agricultural commodities. The spot and …
Persistent link: https://www.econbiz.de/10013116810
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Components of Grain Futures Price Volatility
Karali, Berna - 2012
We analyze the determinants of daily futures price volatility in corn, soybeans, wheat, and oats markets from 1986 to … allows us to clearly distinguish among time-to-delivery effects, seasonality, calendar trend, and volatility persistence. We … find strong evidence of time-to-delivery (Samuelson) effects and systematic seasonal components with volatility increasing …
Persistent link: https://www.econbiz.de/10013116960
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Spot Return Volatility and Hedging with Futures Contract : Empirical Evidence from the Notional Commodity Futures Indices of India
Lagesh, M. A. - 2012
This study investigates price volatility and hedging behavior of four notional commodity futures indices which … of June 8, 2005 to August 31, 2010 have been employed to measure the volatility and hedge ratio. A GARCH (1, 1) model was … employed to measure the spot return volatility of respective indices. DVECH-GARCH, BEKK-GARCH and CCC-GARCH were utilized to …
Persistent link: https://www.econbiz.de/10013108295
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Jump Spillover in Energy Futures Markets : The Bayesian Viewpoint
Liu, Qingfu - 2014
In this paper, we investigate jump spillover effects between five energy (petroleum) futures. In order to identify the latent historical jumps of each energy futures, we use a Bayesian MCMC approach to estimate a jump-diffusion model on each energy futures. We examine the simultaneous jump...
Persistent link: https://www.econbiz.de/10013070830
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The Effect of Futures Markets on the Stability of Commodity Prices
de Jong, Johan - 2019
aversion, and the volatility of futures prices. In the end we observe a stabilizing effect on spot prices for weakly coupled …
Persistent link: https://www.econbiz.de/10012888781