Search Results - subject:"Spot and Futures Prices"

Betting on black gold : oil speculation and U.S. inflation : 2020-2022

Breman, Carlotta; Storm, Servaas - In: International journal of political economy : a journal … 52 (2023) 2, pp. 153-180

Persistent link: https://www.econbiz.de/10014330895

An econometric analysis of ETF and ETF futures in financial and energy markets using generated regressors

Chang, Chia-Lin; McAleer, Michael; Wang, Chien-Hsun - In: International Journal of Financial Studies 6 (2018) 1, pp. 1-24

It is well known that there is an intrinsic link between the financial and energy sectors, which can be analysed through their spillover effects, which are measures of how the shocks to returns in different assets affect each other's subsequent volatility in both spot and futures markets....

Persistent link: https://www.econbiz.de/10011996068

An econometric analysis of ETF and ETF futures in financial and energy markets using generated regressors

Chang, Chia-Lin; McAleer, Michael; Wang, Chien-Hsun - In: International Journal of Financial Studies : open … 6 (2018) 1, pp. 1-24

It is well known that there is an intrinsic link between the financial and energy sectors, which can be analysed through their spillover effects, which are measures of how the shocks to returns in different assets affect each other’s subsequent volatility in both spot and futures markets....

Persistent link: https://www.econbiz.de/10011848179

Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA

Chang, Chia-Lin; McAleer, Michael; Zuo, Guangdong - 2017

their connection to fossil fuels, and the possibility of Granger (1980) causality in spot and futures prices, returns and …. For the USA, daily spot and futures prices are available for crude oil and coal, but there are no daily spot or futures … causality and volatility spillovers in spot and futures prices of carbon emissions, crude oil, and coal. A likelihood ratio test …

Persistent link: https://www.econbiz.de/10011819444

Volatility spillovers and causality of carbon emissions, oil and coal spot and futures for the EU and USA

Chang, Chia-Lin; McAleer, Michael; Zuo, Guangdong - 2017 - Revised: May 2017

Persistent link: https://www.econbiz.de/10011658757

An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets using Generated Regressors

Chang, Chia-Lin; McAleer, Michael; Wang, Chien-Hsun - 2016

It is well known that that there is an intrinsic link between the financial and energy sectors, which can be analyzed through their spillover effects, which are measures of how the shocks to returns in different assets affect each other’s subsequent volatility in both spot and futures markets....

Persistent link: https://www.econbiz.de/10011526129

An econometric analysis of ETF and ETF futures in financial and energy markets using generated regressors

Chang, Chia-ling; McAleer, Michael; Wang, Chien-Hsun - 2016 - Revised: June, 2016

It is well known that that there is an intrinsic link between the financial and energy sectors, which can be analyzed through their spillover effects, which are measures of how the shocks to returns in different assets affect each other's subsequent volatility in both spot and futures markets....

Persistent link: https://www.econbiz.de/10011520509

Convenience yields and risk premiums in the EU-ETS - Evidence from the Kyoto commitment period

Trück, Stefan; Weron, Rafal - Hugo Steinhaus Center for Stochastic Methods, … - 2015

We examine convenience yields in the EU-wide CO2 emissions trading scheme (EU-ETS) during the first Kyoto commitment period (2008-2012). We find that the market has changed from initial backwardation to contango with significantly negative convenience yields in futures contracts. We further...

Persistent link: https://www.econbiz.de/10011199249

Unit root properties of natural gas spot and futures prices: The relevance of heteroskedasticity in high frequency data

Mishra, Vinod; Smyth, Russell - Department of Econometrics and Business Statistics, … - 2014

spot and futures prices. In contrast to previous findings, the main result is that natural gas spot and futures prices are … tests to energy spot and futures prices with high frequency data, such as daily data. …

Persistent link: https://www.econbiz.de/10010780699

Revisiting the relationship between spot and futures prices in the Nord Pool electricity market

Weron, Rafal; Zator, Michal - Hugo Steinhaus Center for Stochastic Methods, … - 2013

spot and futures prices in electricity markets. In particular, the bias coming from the simultaneity problem, the effect of … series of spot and futures prices at Nord Pool and employing regression models with GARCH residuals, we show that the impact …

Persistent link: https://www.econbiz.de/10010888015