Modeling discontinuous periodic conditional volatility: Evidence from the commodity futures market

2004 ◽  
Vol 24 (9) ◽  
pp. 805-834 ◽  
Author(s):  
Nicholas Taylor
Keyword(s):  
Futures Market ◽  
Commodity Futures ◽  
Conditional Volatility

scholarly journals Empirical Evidence on Time-Varying Hedging Effectiveness of Emissions Allowances under Departures from the Cost-of-Carry Theory

2013 ◽  
Vol 2013 ◽  
pp. 1-8 ◽  
Author(s):  
Kai Chang
Keyword(s):  
Futures Market ◽  
Time Varying ◽  
Conditional Volatility ◽  
Conditional Correlation ◽  
Spot Prices ◽  
Market Participants ◽  
Hedging Effectiveness ◽  
Hedge Ratios ◽  
Cost Of Carry ◽  
The Cost

Under departures from the cost-of-carry theory, traded spot prices and conditional volatility disturbed from futures market have significant impacts on futures price of emissions allowances, and then we propose time-varying hedge ratios and hedging effectiveness estimation using ECM-GARCH model. Our empirical results show that conditional variance, conditional covariance, and their correlation between between spot and futures prices exhibit time-varying trends. Conditional volatility of spot prices, conditional volatility disturbed from futures market, and conditional correlation of market noises implied from spot and futures markets have significant effects on time-varying hedge ratios and hedging effectiveness. In the immature emissions allowances market, market participants optimize portfolio sizes between spot and futures assets using historical market information and then achieve higher risk reduction of assets portfolio revenues; accordingly, we can obtain better hedging effectiveness through time-varying hedge ratios with departures from the cost-of-carry theory.

Time‐series momentum in China's commodity futures market

2019 ◽  
Vol 39 (12) ◽  
pp. 1515-1528 ◽  
Author(s):  
Hyuna Ham ◽  
Hoon Cho ◽  
Hyeongjun Kim ◽  
Doojin Ryu
Keyword(s):  
Time Series ◽  
Futures Market ◽  
Commodity Futures
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