Search Results - subject_exact:"Futures contract"

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Forward contracting and the endogenous activity of heterogeneous firms

Mitraille, Sébastien; Thille, Henry - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015460422

Volatility spillover across spot and futures markets : evidence from dual financial system

Elsayed, Ahmed; Asutay, Mehmet; Alaoui, Abdelkader O. el; … - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015062170

Misreaction, hedging pressure, and its effect on the futures market

Chen, Chin-Ho; Yuan, Shu-Fang - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015084911

Detecting the risk of cross-product manipulation in the EUREX fixed income futures market

Stenfors, Alexis; Dilshani, Kaveesha; Guo, Andy; Mere, Peter - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014535735

The lead-lag relation between VIX futures and SPX futures

Bangsgaard, Christine; Kokholm, Thomas - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014491067

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The Lead-Lag Relation between VIX Futures and SPX Futures

Bangsgaard, Christine; Kokholm, Thomas - 2022

Book / Working Paper

Assessing the asymmetric volatility linkages of energy and agricultural commodity futures during low and high volatility regimes

Rezitis, Anthony N.; Andrikopoulos, Panagiotis; Daglis, … - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014475504

When Benchmarks Fail : The Causes and Consequences of Negative Oil Prices

Gilje, Erik P.; Ready, Robert C.; Roussanov, Nikolai; … - 2026

On April 20, 2020, the crude oil benchmark in North America, the West Texas Intermediate (WTI) futures contract for delivery in Cushing, Oklahoma, settled below zero for the first time in history. We combine new empirical evidence with a stylized theoretical model to show that a key catalyst was...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015611209

A multi-market comparison of the intraday lead-lag relations among stock index-based spot, futures and options

Ren, Fei; Cai, Mei-Ling; Li, Sai-Ping; Xiong, Xiong; … - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014327153

Deconstructing the yield curve

Crump, Richard K.; Gospodinov, Nikolaj - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015371020

Does speculation increase volatility in grain futures markets? : evidence from the Interwar Chicago Board of Trade

Iorgulescu, Elissa A. M.; Pütz, Alexander - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015333041

Inter or intra? : An analysis of pairs trading in futures contracts

Masturzo, James; Leung, Raymond C. W. - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015195227

Why do HFTs use the futures market

Banerjee, Anirban; Banerjee, Ashok - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015464880

Futures turnover waves

Emm, Ekaterina E.; Gay, Gerald; Ma, Han; Ren, Honglin - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015465744

Volatility derivatives

Vatanen, Kari - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015434550

Holbrook working and the early financial economics

Delcey, Thomas - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015455733

Do the advantages of offshore exchanges enhance hedging effectiveness? : evidence from Japanese and Indian dual-listed index futures

Sundararajan, Sivakumar; Balasubramanian, Senthil Arasu - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015442876

Price discovery in Bitcoin spot or futures? : the jury is out

Frino, Alex; Gaudiosi, Robert; Webb, Robert I.; Zhou, Zeyang - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015376617

Price discovery in bitcoin spot and futures markets

Robertson, Kevin; Zhang, Rene - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015574364

Volatility in Us Dairy Futures Market

Fan, Steve Z.; Jump, Jeff; Tse, Yiuman; Yu, Linda - 2022

US dairy futures markets of milk, butter, cheese, and dry whey exhibit unique volatility patterns under the Federal Milk Marketing Order pricing scheme. We show dairy volatilities have a relatively low connectedness among themselves and a commodity index. Dairy futures markets respond to...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013294683

Hedging cryptos with Bitcoin futures

Liu, Francis; Packham, Natalie; Lu, Meng-Jou; Härdle, … - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014304363

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Hedging Cryptos with Bitcoin Futures

Liu, Francis; Packham, Natalie; Lu, Meng-Jou; Härdle, … - 2022

Book / Working Paper

Futures-spot price transmission in EU corn markets

Penone, Carlotta; Giampietri, Elisa; Trestini, Samuele - 2022

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013332907

Explainable AI in Futures

Aldridge, Irene; Robinson, Dan - 2022

Using daily returns on 34 futures contracts over the 2010-2022 period, we examine the factors driving these returns. We show that all commodities can be grouped by their drivers into intuitive groups based on their factorization into 1) food, 2) metals and oil and 3) precious metals. The three...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014256376

Is there accuracy of forward freight agreements in forecasting future freight rates? an empirical investigation

Kasimati, Evangelia; Veraros, Nikolaos - 2017

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011668107

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Is There Accuracy of Forward Freight Agreements in Forecasting Future Freight Rates? An Empirical Investigation

Kasimati, Evangelia; Veraros, Nikolaos - 2022

Book / Working Paper

Optimal hedge ratios and hedging effectiveness : an analysis of the Turkish futures market

Buyukkara, Goknur; Kucukozmen, C. Coskun; Uysal, E. Tolga - 2022

The main purpose of this comprehensive study is to determine the optimal hedge ratios and hedging effectiveness of different futures contracts traded on the Borsa Istanbul (BIST), namely the BIST 30 equity index, US dollar–Turkish lira currency futures (USD-TRY), euro–Turkish lira (EUR-TRY)...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012818026

Bond Market Views of the Fed

Bocola, Luigi; Dovis, Alessandro; Jørgensen, Kasper; … - 2024

This paper uses high frequency data to detect shifts in financial markets' perception of the Federal Reserve stance on inflation. We construct daily revisions to expectations of future nominal interest rates and inflation that are priced into nominal and inflation-protected bonds, and find that...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014576649

Perpetual Futures Pricing

Ackerer, Damien; Hugonnier, Julien; Jermann, Urban J. - 2024

Perpetual futures are contracts without expiration date in which the anchoring of the futures price to the spot price is ensured by periodic funding payments from long to short. We derive explicit expressions for the no-arbitrage price of various perpetual contracts, including linear, inverse,...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015072878

ESG and derivatives

Janardanan, Rajkumar; Qiao, Xiao; Rouwenhorst, K. Geert - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015050468

Cryptocurrency hacking and trader behavior in bitcoin futures

Chen, Yu-Lun; Yang, J. Jimmy - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015190966

Futures replication and the law of one futures price

Bick, Avi - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015050127

To hedge or not to hedge? : cryptocurrencies, gold and oil against stock market risk

Echaust, Krzysztof; Just, Małgorzata; Kliber, Agata - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014543972

Empirical Tests of the Green Paradox for Climate Legislation

Norman, Maya A.; Schlenker, Wolfram - 2024

The Green Paradox posits that fossil fuel markets respond to changing expectations about climate legislation, which limits future consumption, by shifting consumption to the present through lower present-day prices. We demonstrate that oil futures responded negatively to daily changes in the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014544684

The Profitability of Technical Stock Trading Has Moved from Daily To Intraday Data

Schulmeister, Stephan - 2021

This paper investigates how technical trading systems exploit the momentum and reversal effects in the S&P 500 spot and futures market. When based on daily data, the profitability of 2580 technical models has steadily declined since 1960, and has been unprofitable since .the early 1990s....

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013226778

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The Profitability of Technical Stock Trading has Moved from Daily to Intraday Data

Schulmeister, Stephan - 2010

Book / Working Paper

Systemic risk and collateral adequacy : evidence from the futures market

Raykov, Radoslav - 2022

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013187333

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Systemic Risk and Collateral Adequacy : Evidence from the Futures Market

Raykov, Radoslav - 2021

Book / Working Paper

Model Averaging in Risk Management with an Application to Futures Markets

Pesaran, M. Hashem; Schleicher, Christoph; Zaffaroni, Paolo - 2021

This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio management. Evaluation of volatility models is then considered...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013316571

Modelling Volatilities and Conditional Correlations in Futures Markets with a Multivariate T Distribution

Pesaran, Bahram; Pesaran, M. Hashem - 2021

This paper considers a multivariate t version of the Gaussian dynamic conditional correlation (DCC) model proposed by Engle (2002), and suggests the use of devolatized returns computed as returns standardized by realized volatilities rather than by GARCH type volatility estimates. The t-DCC...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013316934

Hedging macroeconomic and financial uncertainty and volatility

Dew-Becker, Ian; Giglio, Stefano; Kelly, Bryan T. - 2021

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012650655

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Hedging macroeconomic and financial uncertainty and volatility

Dew-Becker, Ian; Giglio, Stefano; Kelly, Bryan T. - 2020

Book / Working Paper

Hedging macroeconomic and financial uncertainty and volatility

Dew-Becker, Ian; Giglio, Stefano; Kelly, Bryan T. - 2019

Book / Working Paper

Hedging Macroeconomic and Financial Uncertainty and Volatility

Dew-Becker, Ian; Giglio, Stefano; Kelly, Bryan T. - 2021

Book / Working Paper

Hedging Macroeconomic and Financial Uncertainty and Volatility

Dew-Becker, Ian - 2019

Book / Working Paper

Hedging Macroeconomic and Financial Uncertainty and Volatility

Dew-Becker, Ian - 2019

Book / Working Paper

Hedging effectiveness of commodity futures contracts to minimize price risk : empirical evidence from the Italian field : crop sector

Penone, Carlotta; Giampietri, Elisa; Trestini, Samuele - 2021

Over the last years, farmers have been increasingly exposed to income risk due to the volatility of the commodities prices. Among others, hedging in futures markets (i.e., financial markets) represents an available strategy for producers to cope with income risks at farm level. To better...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012705087

Forward- und Futuresmärkte und ihre Bedeutung für die Agrarpreisbildung

Vollmer, Teresa; Striewe, Ludwig; Cramon-Taubadel, … - 2021

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012422223

Futures trading, spot price volatility and structural breaks : evidence from energy sector

Shirodkar, Sanjeeta; Raju, Guntur Anjana - 2021

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012623501

The relative informativeness of regular and e-mini Euro/Dollar futures contracts and the role of trader types

Malhotra, Jatin; Corelli, Angelo - 2021

This paper examines the relative contribution of regular and e-mini futures market to price discovery of EUR/USD futures contracts on the Chicago Mercantile Exchange (CME), using intraday data in 2010.The relative contribution to price discovery is estimated using the information share approach...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012598401

Development of soft commodity derivative market in function of the risk management in CEE

Kovacevic, Vlado; Subic, Jonel; Janković, Irena - 2020

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012519751

The effect of new futures contracts on gold futures price volatility : evidence from the Thailand futures exchange

Woradee Jongadsayakul - 2020

This paper studies the effect of new gold derivatives products, including Gold-D and Gold Online Futures, on the futures price volatility of existing gold futures with two contract sizes, 50 baht-weight and 10 baht-weight, using symmetric and asymmetric GARCH family models, namely: GARCH (1,1),...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013179506

Volatility indices and implied uncertainty measures of European government bond futures

Baran, Jaroslav; Voříšek, Jan - 2020

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013384851

Development of soft commodity derivative market in function of the risk management in CEE

Kovacevic, Vlado; Subic, Jonel; Janković, Irena - 2020

This aim of this paper is to analyse possibilities and potential effects of soft commodity derivative market on the development of risk management practice within the CEE. Agricultural producers and other participants in the soft commodity market in CEE are lacking local commodity market. As a...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012518261

Impact of Single Stock Futures on Feedback Trading, Trading Volume and Volatility : A Modified Approach

Malik, Imran Riaz - 2020

While an extensive amount of literature exists on the role of futures markets in influencing various dynamics of spot markets, the question whether they stabilize or destabilize the underlying spot market is unresolved. This study addresses this concern and investigates the impact of SSFs...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012853555

The VIX and Future Information

Hess, Markus - 2020

In this paper, we propose an innovative VIX model which takes future market information available to the traders into account. The future information is modeled by an initially enlarged filtration in our setup. We derive an explicit representation for the anticipative VIX process and obtain the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012831500