Search Results - subject:"futures contracts"

The impact of financial speculation on futures contracts price movements : a study of the US markets for dairy commodities

Staugaitis, Algirdas Justinas; Christauskas, Česlovas - In: Equilibrium : quarterly journal of economics and … 18 (2023) 3, pp. 661-686

Persistent link: https://www.econbiz.de/10014430616

Investigating the impact of geopolitical risks on the commodity futures

Mitsas, Sokratis; Golitsis, Petros; Khudoykulov, Khurshid - In: Cogent Economics & Finance 10 (2022) 1, pp. 1-24

This paper examines the effect of real-time global geopolitical risks (GPRs), acts (GPAs), and threats (GPTs) indices on monthly returns and volatility of several American commodity futures. By modeling volatility via an Exponential Generalized Autoregressive Conditional Heteroskedasticity...

Persistent link: https://www.econbiz.de/10015074018

Investigating the impact of geopolitical risks on the commodity futures

Mitsas, Sokratis; Golitsis, Petros; Khudoykulov, Khurshid - In: Cogent economics & finance 10 (2022) 1, pp. 1-24

Persistent link: https://www.econbiz.de/10013461382

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

for the daily BIST 30 index and BIST 30 index futures contracts between January 5 and September 27, 2017. The results show …

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

Estimation of VIX futures through Gaussian factor models

Fernandes, Felipe do Nascimento; Aiube, Fernando … - In: Revista Brasileira de Finanças : RBFin 20 (2022) 3, pp. 31-49

In this paper we investigate VIX dynamics through a two-factor Gaussian model, following Avellaneda and Papanicolaou (2019). Two strategies were adopted. First, we considered constant market price of risk. Second, we included time-varying market price of risk. In both cases, we estimated the...

Persistent link: https://www.econbiz.de/10014253891

Hedging effectiveness of commodity futures contracts to minimize price risk: Empirical evidence from the Italian field. Crop sector

Penone, Carlotta; Giampietri, Elisa; Trestini, Samuele - In: Risks 9 (2021) 12, pp. 1-14

to an unhedged portfolio for assessing the income risk reduction. Findings confirm the hedging effectiveness of futures … contracts for all the considered commodities, showing also that this effect increases with longer hedge horizons, and also …

Persistent link: https://www.econbiz.de/10013200875

Hedging effectiveness of commodity futures contracts to minimize price risk : empirical evidence from the Italian field : crop sector

Penone, Carlotta; Giampietri, Elisa; Trestini, Samuele - In: Risks : open access journal 9 (2021) 12, pp. 1-14

unhedged portfolio for assessing the income risk reduction. Findings confirm the hedging effectiveness of futures contracts for …

Persistent link: https://www.econbiz.de/10012705087

The impact of public information on commodity market performance : the response of corn futures to USDA corn production forecasts

Arnade, Carlos Anthony; Hoffman, Linwood A.; Effland, Anne - 2021

Persistent link: https://www.econbiz.de/10012665133

Relevância das diferenças entre contratos futuros e a termo

Andrade, Rafael de Godoy Oliveira; Pinto, Afonso de Campos - In: Revista Brasileira de Finanças : RBFin 19 (2021) 3, pp. 1-30

Persistent link: https://www.econbiz.de/10012804823

Optimal hedge ratios for the Mexican stock market index futures contract : a multivariate GARCH approach

Santillán Salgado, Roberto Joaquín; Escobar, Luis Jacob; … - In: Economía teoría y práctica 28 (2020) 53, pp. 201-238

Persistent link: https://www.econbiz.de/10012617905