In turbulent time periods, the conditional covariance matrix of cash and futures prices should vary over time. The conventional regression based approach to estimate the optimal hedge could then be inappropriate. This paper investigates the hedging effectiveness of BTP futures contracts from...

This paper investigates the high frequency behaviour of US, British and German stock market exuberance using an index provided by standard portfolio arbitrage relationships. Symmetric and asymmetric multivariate GARCH models are implemented to quantify international volatility comovements. In...

This paper assesses empirically whether speculation affects oil price dynamics. The growing presence of financial operators in the oil markets has led to the diffusion of trading techniques based on extrapolative expectations. Strategies of this kind foster feedback trading that may cause large...

Despite the importance ETFs have recently gained, little is known about their liquidity. The conventional view on ETF liquidity is that what really matters is not the size of the ETF or its trading volume but the liquidity of its benchmark index. We argue that while creation/redemption...