In this paper, we examine the EU Emissions Trading Scheme options and futures markets' dynamics during the period 2005 to 2011. We study observations on returns, volatilities and volumes on derivative instruments. In addition, we examine spot/future correlations, term structures and option...

Accurate volatility modelling is paramount for optimal risk management practices. One stylized feature of financial volatility that impacts the modelling process is long memory explored in this paper for alternative risk measures, observed absolute and squared returns for high frequency intraday...

This paper examines the volatility and covariance dynamics of cash and futures contracts that underlie the Optimal Hedge Ratio (OHR) across different hedging time horizons. We examine whether hedge ratios calculated over a short term hedging horizon can be scaled and successfully applied to...