. This paper finds increased spot price volatility and lower pricing accuracy because the information-transmission and risk …How does futures trading affect spot price volatility? This paper uses a unique early-twentieth century natural … banned. The permanency of this ban makes it ideal for studying its effect on volatility, using a difference …

illustrations, EVT and tail-risk modelling, with evidence from market indices and volatility series, the economics of data using … improved risk management during the global financial crisis, the role of banking regulation in an economy under credit risk and … liquidity shock, separating information maximum likelihood estimation of the integrated volatility and covariance with micro …

Commodity derivatives were introduced in India with a dual purpose of promoting price discovery and enhancing risk …

effectiveness to manage excess volatility and to preserve liquidity. Specifically, we empirically analyze volatility and liquidity … around volatility interruptions implemented on the German and Spanish stock market which differ regarding specific design … parameters. We find that volatility interruptions in general significantly decrease volatility in the post interruption phase …

The volatility information content of stock options for individual firms is measured using option prices for 149 U ….S. firms and the S&P 100 index. ARCH and regression models are used to compare volatility forecasts defined by historical stock … returns, at-the-money implied volatilities and model-free volatility expectations for every firm. For one-day-ahead estimation …

A model-free methodology is used for the first time to estimate a daily volatility index (VIBEX-NEW) for the Spanish … display a negative, tight contemporaneous relationship with IBEX daily returns, contrary to other common volatility indicators …, as an implied volatility indicator or a GARCH(1,1) conditional volatility model. This relationship is approximately …

prices, returns and volatility of related agricultural commodities. Analyzing the spillover effects on agricultural … commodities and biofuel helps commodity suppliers hedge their portfolios, and manage the risk and co-risk of their biofuel and …. The purpose of this paper is to examine the volatility spillovers for spot and futures returns on bio-ethanol and related …

Surveys of corporate risk management document that selective hedging, where managers incorporate their market views … strength to withstand the additional risk from market timing. We study the practice of selective hedging in a 10-year sample of … into firms' hedging programs, is widespread in the U.S. and other countries. Stulz (1996) argues that selective hedging …