Showing 60,611 - 60,620 of 61,080
The instability of commodity prices and the hypothesis that speculative behaviour was one of its causes has brought renewed interest in futures markets. In this paper, the hedging effectiveness of European and US wheat futures markets were studied to test whether they were affected by the high...
Persistent link: https://www.econbiz.de/10011125207
has been the cause of the increased volatility. Policy research has concentrated on the legislative intent of the law and … the following research question: why has agricultural commodity futures price volatility changed over time? Applying quasi … variability (volatility) as a measurement of commodity market behavior. The findings indicate that commodity futures market …
Persistent link: https://www.econbiz.de/10011125342
Observed increased volatility of world commodity prices causes an increase of risk exposure. Thus market participants … volatility in selected EU member states. Results of the analysis indicate a dispersion of volatility among the analyzed countries … indicates a high possibility of outliers’ existence. Volatility of wheat prices is conditional which implies a need of using …
Persistent link: https://www.econbiz.de/10011125633
We investigate a class of semiparametric ARCH(∞) models that includes as a special case the partially nonparametric (PNP) model introduced by Engle and Ng (1993) and which allows for both flexible dynamics and flexible function form with regard to the 'news impact' function. We propose an...
Persistent link: https://www.econbiz.de/10011126295
This review article tries to answer four questions: (i) what are the stylized facts about uncertainty over time; (ii) why does uncertainty vary; (iii) do fluctuations in uncertainty matter; and (iv) did higher uncertainty worsen the Great Recession of 2007-2009? On the first question both macro...
Persistent link: https://www.econbiz.de/10011126328
The present study examines the stock return volatility relationship of emerging economies from 2007 to 2013 which also … stock return volatility in all the countries stock markets. These findings have important implication for the investors …
Persistent link: https://www.econbiz.de/10011126744
for price volatility. Neither the continuous reforms of the common agricultural policy nor weather induced factors … calendar years price volatility coefficients are much higher for German barley prices than price volatility coefficients …
Persistent link: https://www.econbiz.de/10011128172
This paper investigates the relationship between volatility and economic growth in the European regions over the period … incidence of volatility in neighbouring regions. This fi_x000C_nding is robust to the inclusion in the analysis of different … industry mix. Furthermore, the results of the paper do not depend on the specifi_x000C_c measure of volatility used, or the …
Persistent link: https://www.econbiz.de/10011131983
reveal this seasonality not only on indexes returns but also on the capital market volatility. In order to identify the …
Persistent link: https://www.econbiz.de/10011067141
equity returns, bond yields and measures of market risk such as implied volatility, skewness and kurtosis. Our main finding …
Persistent link: https://www.econbiz.de/10011067256