an approach to model spot prices that combines mean-reversion, spikes and stochastic volatility. Thereby we use different … ; Energy markets ; Lévy processes ; Mean-reversion ; Spikes ; Stochastic volatility ; GARCH …

prices, returns and volatility of related agricultural commodities. Analyzing the spillover effects on agricultural …. The purpose of this paper is to examine the volatility spillovers for spot and futures returns on bio-ethanol and related … agricultural commodities, specifically corn and sugarcane, using the multivariate diagonal BEKK conditional volatility model. The …

In this article, I investigate the impacts of futures and options markets on the volatility of the underlying market … previous findings. it suggests that the impacts on the spot market volatility depends on the quality of new information … generated by derivatives trading. Futures market reduces spot market volatility by providing new, material information, but …

This paper investigates how the introduction of foreign exchange futures has an impact on spot volatility and considers … the contemporaneous and dynamic relationship between spot volatility and foreign exchange futures trading activity … decreases spot volatility. It also increases the rate at which new information is impounded into spot prices but decreases the …

Using data from the Borsa İstanbul (BIST), this study analyzes whether derivatives market operations have a volatility … general volatility spillover effect from the derivatives market to the stock market, except for the frequency that covers all … volatility shocks increases. These results indicate that inexperienced investors should be informed about derivatives markets …