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Futures Markets Reaction to Crude Oil Inventory News Announcements : Asymmetric Return Response Patterns

Bu, Hui - 2021

This study investigates how prices respond to unanticipated crude oil inventory shocks and how quickly the markets incorporate news in crude oil, gasoline, and heating oil futures markets by using structured vector autoregression (SVAR) models based on EIA inventory report announcement and news...

Persistent link: https://www.econbiz.de/10013311571

The social cost of carbon under climate volatility risk

Lin, Xu; Wijnbergen, Sweder van - 2023

We calculate the social cost of carbon (SCC) under stochastic climate volatility resulting from uncertainty about … climate volatility risks substantially increase the SCC both in the business-as-usual and optimal abatement policy scenario … more frequent disasters for equal expected value. Overall we show that stochastic volatility has a major impact on the SCC. …

Persistent link: https://www.econbiz.de/10014290496

Market Interaction in Returns and Volatilities between Spot and Forward Shipping Freight Markets

Visvikis, Ilias; Kavussanos, Manolis G. - 2014

The lead-lag relationship in both returns and volatilities between spot and futures markets has been investigated extensively in the financial economics literature. Only a limited number of such studies have appeared on forward markets, primarily due to the lack of easy access to empirical data....

Persistent link: https://www.econbiz.de/10014206215

The Profitability of Technical Stock Trading Has Moved from Daily To Intraday Data

Schulmeister, Stephan - 2021

This paper investigates how technical trading systems exploit the momentum and reversal effects in the S&P 500 spot and futures market. When based on daily data, the profitability of 2580 technical models has steadily declined since 1960, and has been unprofitable since .the early 1990s....

Persistent link: https://www.econbiz.de/10013226778

Major currency ETFs and their associated spot and futures rates

Padungsaksawasdi, Chaiyuth; Parhizgari, Ali M. - In: Review of Pacific Basin financial markets and policies 20 (2017) 4, pp. 1-32

Persistent link: https://www.econbiz.de/10011779032

Is foreign exchange intervention through derivative instruments effective? : an analysis of the Peruvian case

Abanto Salcedo, Flavio - 2024

rate volatility in the short run. Second, I estimate event study regressions with intraday data, which allowed to confirm …

Persistent link: https://www.econbiz.de/10015053909

Impact of currency futures on volatility in exchange rate : a study of Indian currency market

Kumar, Ashish - In: Paradigm : the journal of Institute of Management Technology 19 (2015) 1, pp. 95-108

Persistent link: https://www.econbiz.de/10011761360

The Q-measure dynamics of forward rates

Rebonato, Riccardo - In: Annual review of financial economics 15 (2023), pp. 493-522

Persistent link: https://www.econbiz.de/10014426352

Concentration and liquidity in mature markets : evidence from the US dollar/yen futures market

Goss, Barry A.; Avsar, S. Gulay - In: Australian economic papers 41 (2002) 4, pp. 577-591

Persistent link: https://www.econbiz.de/10001997765

Möglichkeiten zur Überprüfung der Glaubwürdigkeit von Wechselkursparitäten

Schwier, Rolf - 1995

Persistent link: https://www.econbiz.de/10000548053