This paper examines the time-varying relationship and the hedging effectiveness between the food commodities futures and the food markets from August 1986 to December 2019. We employed Engle (2002)’s Dynamic Conditional correlation (DCC) model to calculate the dynamic correlations. We used the...

Three models of trading on the electricity commodity exchange are presented, where the market clearing price is based on the weighted average value of the proposed goods. The models make it possible to estimate the prices of the goods offered for sale on the basis of two parameters; the market...

This paper investigates the potentially time-varying importance of spot and futures markets in the price discovery process of financial assets. For this purpose, we generalize the concept of component shares and information shares to allow for state-dependent relevance of different markets over...

In this study, we investigate the cross-section of option implied tail risks in commodity markets. In contrast to findings from equity markets, left and right tail risk implied by option markets are both large. Commodity specific variables exert the largest influence on tail risk, while there is...

We propose a novel measure of the ex-ante commodity downside-risk premium (CDP) for each commodity based on a term structure model of commodity futures. Our theory-based CDP, capturing forward-looking information in the futures markets, outperforms well-known characteristics in explaining the...