The aim of this article is to examine the presence of volatility transmission between futures index and underlying stock index by using intraday data in Turkey. We first examined the sudden changes in the variance of futures index return and the underlying spot index return. Then we employed the causality in the variance tests proposed by Hong (2001) and Hafner and Herwartz (2006). According to...

In this article we use structural econometrics to formally test whether the use of the alternative marketing arrangements (AMAs) by pork packers is the source of their market power on the spot (cash) market for live hogs. We specify the pork packers’ conjectures of the change in the industry total market procurement of live hogs through the spot market with respect to their AMAs stocks. The tes...

In a single period framework, we develop a supply portfolio risk assessment tool for raw material procurement in the presence of supply risk (owing to contract breaches), demand risk and the spot price risk. Contract breaches are operational risk events that are classified under the “Clients, Products and Business Practices” category of the Basel II framework. We allow for the negative financia...

The short-time asymptotic behavior of option prices for a variety of models with jumps has received much attention in recent years. In the present work, novel third-order approximations for close-to-the-money European option prices under an infinite-variation CGMY Lévy model are derived, and are then extended to a model with an additional independent Brownian component. The asymptotic regime co...

Even when participants know very little about their environment, the market itself, by serving as a selection process of information, promotes an efficient aggregate outcome. To emphasize the role of the market and the importance of natural selection rather than the strategic actions of participants, an evolutionary model of a commodity futures market is presented, in which there is a continual...

Although the expansion of offshore wind has recently increased in Germany, as in other countries, it is still forced to defend its role in long-term energy policy plans, particularly against its onshore counterpart, to secure future expansion targets and financial support. The objective of this article is to investigate the economic effects of offshore wind on the electricity spot market and th...

The short-time asymptotic behavior of option prices for a variety of models with jumps has received much attention in recent years. In the present work, a novel third-order approximation for close-to-the-money European option prices under the CGMY Lévy model is derived, and extended to a model with an additional independent Brownian component. The asymptotic regime considered, in which the stri...

ABSTRACT In this paper, we treat output as a decision variable. Moreover, we employ a general form of basis risk. Furthermore, we relax the statistical-independence assumption between the spot price and basis risk.