Malliaris and Urrutia (1996) use cointegration to analyse the prices of agricultural commodity futures contracts traded on the Chicago Board of Trade (CBOT). They ® nd a long-run relationship among US grown corn, wheat, oat, soybean, soybean meal and soybean oil futures prices and assert that this empirical ® nding is consistent with two alternative hypotheses. The ® rst is that common economic...

This paper combines the Heterogeneous Autoregressive Realised Volatility (HAR-RV) model and Markov Regime Switching (MRS) approach to estimate forecast volatility of energy futures contracts traded at Tokyo Commodity Exchange (TOCOM). The proposed MRS-HAR-RV allows dynamics realised change as market conditions change. dataset consists intraday prices for gasoline, kerosene crude oil futures. Es...

H igh price volatility and the risk are the main features of commodity markets. One way to reduce this risk is to apply the hedging policy by future contracts. In this regard, in this paper, we will calculate the optimal hedging ratios for OPEC oil. In this study, besides the multivariate GARCH models, for the first time we use conditional copula models for modelling dependence struc...

We explore optimal hedge ratios and hedging effectiveness for the German electricity market. Given the increasing attention that wavelets received in the financial market, we concentrate on the investigation of the relationship, covariance/coherence evolution and hedge ratio analysis, on a time-frequency-scale approach (discrete and continuous), between electricity spot and futures. Simpler app...

This paper solves the optimal futures hedging problem in several simple continuous-time settings, and examines the resultant equilibrium in one case. Spot and futures prices are described by vector diffusion processes. A hedge is a vector stochastic process specifying a futures position in each futures market. Hedging profits and losses are marked to market in an interest-bearing (or interest-p...

We outline several fundamental themes for the WPS Handbook of the Futures Markets. The Handbook as the others in the same series intends to be a definitive source for comprehensive and accessible information in futures markets. The emphasis is on the unique characteristics of futures markets that make them worthy of a special volume. In our judgment, futures markets are currently undergoing rem...