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The dynamics in the spot, futures, and call options with basis asymmetries : an intraday analysis in a generalized multivariate GARCH-M MSKST framework

Wang, Kai-li; Chen, Mei-ling - In: Review of quantitative finance and accounting 29 (2007) 4, pp. 371-394

Persistent link: https://www.econbiz.de/10003600297

Derivatives trading, information and spot price volatility : evidence from the National Stock Exchange (NSE), India

Pradhan, Kailash Chandra; Bhat, K. Sham - In: Asian African journal of economics and econometrics 10 (2010) 1, pp. 101-111

Persistent link: https://www.econbiz.de/10009008346

Do futures and options trading increase spot market volatility in India? : the case of S&P CNX Nifty

Srinivasan, Palamalai - In: International journal of business performance and … 2 (2010) 2, pp. 134-145

Persistent link: https://www.econbiz.de/10009507588

Impact of futures trading on volatility of spot market-a case of guar seed

Dinesh Kumar Sharma; Malhotra, Meenakshi - In: Agricultural finance review 75 (2015) 3, pp. 416-431

Persistent link: https://www.econbiz.de/10011341934

Analyzing the impact of futures trading on spot price volatility : evidence from the spot electricity market in France and Germany

Kalantzis, Fotis G.; Milonas, Nikolaos T. - In: Energy economics 36 (2013), pp. 454-463

Persistent link: https://www.econbiz.de/10009724667

Forecasting spot price volatility using the short-term forward curve

Haugom, Erik; Ullrich, Carl J. - In: Energy economics 34 (2012) 6, pp. 1826-1833

Persistent link: https://www.econbiz.de/10009687854

Hedging performance and multiscale relationships in the German electricity spot and futures markets

Madaleno, Mara; Pinho, Carlos - In: Journal of risk and financial management : JRFM 3 (2010) 1, pp. 26-62

We explore optimal hedge ratios and hedging effectiveness for the German electricity market. Given the increasing attention that wavelets received in the financial market, we concentrate on the investigation of the relationship, covariance/coherence evolution and hedge ratio analysis, on a...

Persistent link: https://www.econbiz.de/10011555959

Price discovery and volatility transmission in the spot and futures market of pepper : an empirical analysis

Nadig, Asha; Viswanathan, T. - In: International journal of intelligent enterprise 9 (2022) 1, pp. 78-99

Persistent link: https://www.econbiz.de/10012799917

Index future trading and spot market volatility in frontier markets : evidence from Ho Chi Minh Stock Exchange

Loc Dong Truong; Nguyen Thi Kim Anh; Dut Van Vo - In: Asia Pacific financial markets 28 (2021) 3, pp. 353-366

Persistent link: https://www.econbiz.de/10012599791

Investigating the volatility spillover effect between derivative markets and spot markets via the wavelets : the case of Borsa İstanbul

Gürbüz, Süleyman; Şahbaz, Ahmet - In: Borsa Istanbul Review 22 (2022) 2, pp. 321-331

Using data from the Borsa İstanbul (BIST), this study analyzes whether derivatives market operations have a volatility … general volatility spillover effect from the derivatives market to the stock market, except for the frequency that covers all … volatility shocks increases. These results indicate that inexperienced investors should be informed about derivatives markets …

Persistent link: https://www.econbiz.de/10013184127