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Volatility and the hedging effectiveness of China fuel oil futures

Chen, Wei; Ford, James L. - 2010

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Return volatility movements in spot and futures markets : evidence from intraday behavior of the S&P 500 index

Chen, Jeng-hong - In: The international journal of business and finance … 8 (2014) 3, pp. 95-107

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Spot return volatility and hedging with futures contract : empirical evidence from the notional commodity futures indicies of India

Kumar, Santhosh; Lagesh, M. A. - In: The IUP journal of behavioral finance : IJBF 8 (2011) 2, pp. 70-85

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Model-free moments : predictability of STOXX Europe 600 Oil & Gas future returns

Capriotti, Alessio; Muzzioli, Silvia - 2024

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The linkages, persistence, asymmetry in the volatility, the price discovery and efficiency, and the effect of the US subprime mortgage financial crisis on the spot and the futures...

Paul, Muthucattu Thomas; Kimata, James D. - In: Applied economics 48 (2016) 7/9, pp. 669-683

Persistent link: https://www.econbiz.de/10011413991

The volatility of returns from base metal futures market : evidence from India

Samal, Laxmidhar; Das, Sudhansu Kumar - In: The Indian journal of economics 103 (2023) 410,3, pp. 537-557

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An empirical investigation of the lead-lag relations of returns and volatilities among the KOSPI200 spot, futures and options markets and their explanations

Kang, Jangkoo; Chang, Joo Lee; Soon, Hee Lee - In: Journal of emerging market finance 5 (2006) 3, pp. 235-261

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What effect did the introduction of Bitcoin futures have on the Bitcoin spot market?

Jalan, Akanksha; Matkovskyy, Roman; Urquhart, Andrew - In: The European journal of finance 27 (2021) 13, pp. 1251-1281

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Does the introduction of US spot Bitcoin ETFs affect spot returns and volatility of major cryptocurrencies?

Babalos, Vassilios; Bouri, Elie; Gupta, Rangan - In: The quarterly review of economics and finance 102 (2025), pp. 1-10

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A Further Investigation of the Lead-Lag Relationship in Returns and Volatility between the Spot Market and Stock Index Futures : Early Evidence from Greece

Karagiannis, Sotirios - 2014

market seems to play a more important role in price discovery. Volatility spillovers across the two markets are examined by … using a bivariate EGARCH(1,1) model. This model is found to capture all the volatility dynamics. The results indicate that … the transmission of volatility is bidirectional. Any piece of information that is released by the cash market has an …

Persistent link: https://www.econbiz.de/10013047165