Piazzesi and Swanson (2006) argues that the monthly excess returns on federal funds futures contracts are significantly positive on average; predictable using business cycle and financial market indicators; and that futures rates need significant adjustment for these excess returns. This paper shows that intermeeting moves of the federal funds rate by the FOMC can explain much of the variation ...

The Futures contract is an agreement between two parties to buy or sell asset at a certain time in the future for agreed price. Since its introduction Indian market, futures are on rise, attracting three types of players i.e., hedgers, speculators & arbitrageurs. These able book their profit only if there any mis-match spot-future relationship. objective this paper find out whether spot-futures...

Motivated by features of low latency data in financial econometrics we study in detail integervalued Lévy processes as the basis of price processes for high frequency econometrics. We propose using models built out of the difference of two subordinators. We apply these models in practice to low latency data for a variety of different types of futures contracts.

We investigate volatility spillovers from West Texas Intermediate (WTI) crude oil to carbon emission allowance futures, focusing on the period surrounding WTI negative pricing event of April 2020. Results evidence, pre-negative WTI, a doubling directional spillover futures upon global spread COVID-19, with sharp elevation allowances during specific WTI. This extraordinary rise in continued past...

This paper presents some evidence for the presence of asymmetry in the price-volume relationship in the crude oil futures market. The data sample includes threeand six-month contracts and covers the period between 2 January 1985 and 11 July 1996. Using threshold models we show that the price changes have systematic asymmetric effects on volume changes in that negative price changes have stronge...

Unlike derivatives of financial contracts, commodity options exhibit distinct particularities owing to physical aspects of the underlying. An adaptation of no-arbitrage pricing to this kind of derivative turns out to be a stress test, challenging the martingale-based models with diverse technical and technological constraints, with storability and short selling restrictions, and sometimes with ...

In this paper we view the problem of adequate electricity supply and demand as a dynamic process affected by several fundamental factors. By incorporating the effect of the available price signals on investment decisions we model the investment dynamics for (i) a system comprising both spot and futures (forward) markets, and for (ii) a system comprising a spot and an installed capacity (ICAP) m...

Motivated by features of low latency data in finance we study in detail discrete-valued Lévy processes as the basis of price processes for high frequency econometrics. An important case of this is a Skellam process, which is the difference of two independent Poisson processes. We propose a natural generalisation which is the difference of two negative binomial processes. We apply these models i...

The behavior of managers in initiating a derivatives market position brings to the surface an interesting phenomenon: sometimes managers initiate a position in derivatives markets (i.e., futures and options markets) and sometimes they do not, even though the price volatility of the underlying asset has not changed. The current (hedging) models might explain the phenomenon of derivatives positio...