The International Maritime Exchange (IMAREX) is the leading regulated marketplace for trading and clearing shipping freight derivatives. We investigate for the first time whether the IMAREX freight futures market is efficient over daily and weekly horizons. To this end, we address the question...

Over the last decade institutional and individual investors have increased their allocated share of wealth to commodities immensely. In this short article, we discuss some common beliefs and point out the misconceptions on the motivation for investing in commodities, whether commodities should...

The accurate specification of the process that the temperature follows over time is a prerequisite for the pricing of temperature derivatives. To this end, a horse race of alternative specifications of the dynamics of temperature is conducted by evaluating their out-of-sample forecasting...

In light of the recently passed 2010 Dodd–Frank Act, we assess the effect of margin changes on prices/returns, the risk-sharing between speculators and hedgers, and the price stability of a large number of commodity futures markets. We find that margin increases decrease the rate at which...

We investigate whether the daily evolution of the term structure of petroleum futures can be forecasted. To this end, the principal components analysis is employed. The retained principal components describe the dynamics of the term structure of futures prices parsimoniously and are used to...

We address the question whether the evolution of implied volatility can be forecasted by studying a number of European and U.S. implied volatility indices. Both point and interval forecasts are formed by alternative model specifications. The statistical and economic significance of these...

We explore the ability of alternative popular continuous-time diffusion and jump diffusion processes to capture the dynamics of implied volatility indices over time. The performance of the various models is assessed under both econometric and financial metrics. To this end, data are employed...

We investigate whether there are predictable patterns in the dynamics of higher order risk-neutral moments extracted from the market prices of S&P 500 index options. To this end, we conduct a horse race among alternative forecasting models within an out-of-sample context over various forecasting...

We explore whether there are common factors in the cross-section of individual commodity futures returns. We test various asset pricing models which have been employed for the equities market as well as models motivated by commodity pricing theories. The use of these families of models allows us...

We address the empirical implementation of the static asset allocation problem by developing a forward looking approach that uses information from market option prices. To this end, we extract constant maturity S&P 500 implied distributions and transform them to the corresponding risk-adjusted...