type of the structural shock of interest. Understanding the response of the risk premium to unexpected changes in the price … premium and unexpected rise in the price of oil? On average, what should speculators expect to receive as a compensation for … risk premium and the changes in the price of oil triggered by shocks to economic fundamentals. Second, this analysis shows …

CCC and DCC multivariate GARCH models, we find that financial speculation is poorly significant in modelling returns in … ; Futures Markets ; Financial Speculation ; Multivariate GARCH …

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 proxy for long term speculation, and scalping, which proxies for …

composed by heterogeneous traders which behave differently depending on the intensity of the price fluctuations and uncertainty …

-sharing between speculators and hedgers, and the price stability of 20 commodity futures markets. We find that margin increases …

that hedging effectiveness is much higher when the seasonal pattern in spot price changes is approximated with lagged … values of the basis (futures price minus spot price). This fact remain true for short (a week) and long (one, three and six … months) hedging periods. Furthermore, volatility of weekly price changes also has a seasonal pattern and is higher in winter …

This study investigates the effects of oil price shocks on volatility of selected agricultural and metal commodities …. To achieve this goal, we decompose an oil price shock to its underlying components, including macroeconomics and oil … functions, the response of volatility of each commodity to an oil price shock differs significantly depending on the underlying …

oil futures price from the spot price of oil and it represents a measure of the convenience yield but expressed with an … explaining the rises in the price of oil during the period 2003-2008. …

effect for copper and no leverage effect for nickel and palladium. Finally, price volatility of metals differently reacts to …This study investigates the price volatility of metals, using the GARCH and GJR models. First we examine the … estimate the effects of oil price shocks on the price volatility of metals, allowing for the asymmetric responses. We use daily …