This technical note expands on the previous note, "Forwards and Futures" (UVA-F-1427), which introduced the basics of forward and futures contracts. It begins with examples where the hedging was one-for-one and the maturity of the futures contract exactly matched the timing of the transaction....

This paper studies the common jump dynamics in natural gas futures and spot markets within a bivariate autoregressive jump intensity-GARCH framework (BARJI-GARCH). We particularly examine the role of weather as a short-run demand factor and inventory as a short-run supply factor in explaining...

The global economy is yet to recover from the worst crisis witnessed since post World War II. The world trade is projected to contract by 2.8% in 2009, which is an alarming indication. Indian economy too has been hurt to some extent by the global financial crisis. The stock markets, financial...

This paper examines hedging effectiveness of four agricultural (Soybean, Corn, Castor seed and Guar seed) and seven non-agricultural (Gold, Silver, Aluminium, Copper, Zinc, Crude oil and Natural gas) futures contracts traded in India. We apply VECM and CCC-MGARCH model to estimate constant hedge...

This paper argues that transparency-boosting measures specifically tailored to commodity and commodity derivatives markets are much needed. In particular, encouraging the creation of a clearing infrastructure for OTC commodity and commodity derivatives markets would be desirable. Moreover, EU...

This paper investigates the forecastability of prices and returns in commodity futures markets. To examine the implications for models of commodity prices we derive a new canonical affine form that lends itself to model evaluation and comparison. Both regressions and model estimates imply that...

This paper evaluates how different types of speculation affect the volatility of commodities' futures prices. We adopt four indexes of speculation: Working's T, the market share of non-commercial traders, the percentage of net long speculators over total open interest in future markets, which...

This paper takes an innovative look at the relationship between the pricing of commodity futures contracts and its relation to storage and speculation. Fifteen commodities are analyzed over the time period from 1990 to 2010. Contrary to other studies, we analyze temporary and permanent futures...

The original double auction studies of supply and demand markets established their strong efficiency and equilibrium convergence behavior using economically unsophisticated and untrained subjects. The results were unexpected because all individual costs and values were private and dependent...