In his seminal article, Samuelson (1965) proposes the maturity effect that volatility of futures prices should increase …

reasons for and the impact of the strong rise in volatility provoked an intensive debate in the media as well as in the … futures markets does not seem to be appropriate. Therefore, the aim of this study is to investigate the volatility spillover … futures contracts for corn, cotton, and wheat and estimate GARCH-in-mean VAR models in the tradition of Elder (2003). Our …

demand and supply conditions. In three out of the four investigated cases, exchange rate posed as a main source of risk for … the commodity futures price. The significance and form of volatility spill-over effects of a bilateral exchange rate are …

daily Eurozone stock market returns during a recent period. Wavelet multiple correlation analysis reveals the existence of a …

We investigate the role of jumps in transmitting volatility between foreign exchange markets (Engle, Ito, and Lin, 1990 … different implications for the impact of jumps on exchange rate volatility transmission. Specifically, isolated and successive … jumps have opposite predictions for future volatility. Although the realized volatility literature finds that heat wave …

The main goal of this study is to investigate the asymmetric impact of innovations on volatility in the case of the US …

The study of significant deterministic seasonal patterns in financial asset returns is of high importance to academia … and investors. This paper analyzes the presence of seasonal daily patterns in the VIX and S&P 500 returns series using a … not in the daily S&P 500 log-returns series. In particular, we find an inverted Monday effect in the VIX level and changes …

influenced by the spot volatility. This negative impact of spot volatility is also verified for the risk premium, with the latter … test the risk premium and convenience yield for CO2 contracts accordingly to previous economic theories, for the period … convenience yield on the risk premium for the ECX French market and for Phase II contracts, leading us to conclude that results …

take into account risk-return considerations. Empirical results indicate that dynamic hedging provides superior gains (in … reducing the variance portfolio) compared to those obtained from static hedging, when adjustment costs are not taken into …'s increased preference over risk. …

trade. We examine land allocation by type of crop, and pasture use for countries growing feedstock for ethanol (corn …, sorghum, wheat, sugarcane, and other grains) and major crops competing with feedstock for land resources such as oilseeds. We … for sugarcane production in Brazil and to a lesser extent in other sugar-producing countries, but with small impact on …