Search results for "Futures contract"
showing 10 items of 70 documents
Exploring the Future of Universities Through Experimental Foresight
2020
Throughout 2018/2019, The Futures Lab, Inc. (TFL) was commissioned to undertake a comprehensive foresight study on the potential futures for universities in Norway. For the most part, the project followed the full, TFL comprehensive six-stage foresight process and a number of customized approaches that leveraged the specificities of the Norwegian Education System. The foresight project covered two future time horizons, namely 2025 to 2030 and 2031 to 2040. Rather than focus here on the Future of the University project itself, this paper considers five experimental foresight methods that produced an extra edge to the creative inputs to this project and delivered some unexpected and critical …
Speculative and hedging activities in the European Carbon Market
2015
Abstract We explore the dynamics of the speculative and hedging activities in European futures carbon markets by using volume and open interest data. A comparison of the three phases in the European Union Emission Trading Scheme (EU ETS) reveals that (i) Phase II of the EU ETS seems to be the most speculative phase to date and (ii) the highest degree of speculative activity for every single phase occurs at the moment of listing the contracts for the first time. A seasonality analysis identifies a higher level of speculation in the first quarter of each year, related to the schedule of deadlines of the EU ETS. In addition, a time series analysis confirms that most of the speculative activity…
Essays On European Natural Gas Market
2018
La presente tesis ha cubierto diferentes aspectos de los mercados europeos del gas natural y la electricidad, en particular algunas propiedades que afectan a la efectividad de la cobertura, como la estacionalidad en varianza y en precios. Asimismo, se ha realizado un estudio de la prima de riesgo del gas natural, su relación con las variables de riesgo y su descomposición en una prima de riesgo de reinversión o ‘rollover’ y una prima de ‘preferencia por liquidez’ relacionada con el plazo. La tesis se compone de tres capítulos: el Capítulo I estudia la estacionalidad en los precios y la volatilidad y cómo mejora la efectividad de la cobertura teniendo en cuenta dicha estacionalidad; el Capít…
GARCH models with changes in variance: An approximation to risk measurements
2003
This study aims to model volatility as an approximation to an optimum measurement of stock market risk because of the importance of this concept for, among other things, the proper management of portfolios. Following the proposal of Lamoureux and Lastrapes (1990), the authors consider that the high degree of persistence detected in GARCH models arises from a poor specification of the equation of the variance due to not considering the possible deterministic changes in the unconditional variance of the financial series. To determine the point in time as well as the duration of these changes, the proposal made by Inclan and Tiao (1994) is used. As an empirical application, whether or not the …
Is the EUA a new asset class?
2022
The listing of a new asset requires knowledge of its statistical properties prior to its use for hedging, speculative or risk management purposes. In this paper, the authors study the stylised facts of European Union Allowances (EUAs) returns. The majority of the phenomena observed, such as heavy tails, volatility clustering, asymmetric volatility and the presence of a high number of outliers are similar to those observed in both commodity futures and financial assets. However, properties such as negative asymmetry, positive correlation with stocks indexes and higher volatility levels during the trading session, typical of financial assets, and the existence of inflation hedge and positive …
Creating futures images for sustainable cruise ships : insights on collaborative foresight for sustainability enhancement
2021
The aim of the study was to explore futures images of collaborative sustainability enhancement within a cruise ship building network. Addressing collaborative sustainability at the organizational level rather than at the macro (regional or planetary) level, the paper explores socially constructed and shared futures images, which are less widely studied than individual-level images of the future. We advance an analytical model for constructing and evaluating collectively held futures images based on the structure and content of those images. From our data, we identified four futures images: Money rules; The customer is always right; Local economy focus; and The most sustainable ships in the …
The effectiveness of several market integration measures when facing a market turmoil
2003
Many market integration measures are operationalized to compute their numerical values during a period characterized by the lack of stability and market turmoil. The results of the tests give their degree of effectiveness, and reveal that the measures based on the principles of asset valuation, versus statistical measures, more clearly yield the level of integration of financial markets. Besides, cross market arbitrage-linked measures and equilibrium models-linked measures provide complementary information and reflect different properties, and consequently, both types of measures may be useful in practice.
Hedging of Spatial Temperature Risk with Market-Traded Futures
2011
The main objective of this work is to construct optimal temperature futures from available market-traded contracts to hedge spatial risk. Temperature dynamics are modelled by a stochastic differential equation with spatial dependence. Optimal positions in market-traded futures minimizing the variance are calculated. Examples with numerical simulations based on a fast algorithm for the generation of random fields are presented.
COVID-19: A forest fire rather than a wave?
2021
As I write this piece, many countries around the world are being described as experiencing a «second wave» of the COVID-19 pandemic. For example, on 19 September 2020, the UK Prime Minister Boris Johnson said: «We are now seeing a second wave coming in. We’ve seen it in France, in Spain, across Europe. It’s been absolutely inevitable, I’m afraid, that we would see it in this country».
 Metaphors are crucial tools for communication and thinking, and can be particularly useful in public health communication. For example, the «second wave» metaphor suggests that there is renewed danger and threat from the virus, and may therefore encourage compliance with measures aimed at reducing transm…
Exploring the Hedging Effectiveness of European Wheat Futures Markets during the 2007-2012 Period
2014
Abstract The hypothesis that speculative behaviour was the cause of the instability of commodity prices has brought renewed interest in futures markets. In this paper, the hedging effectiveness of European and US wheat futures markets were studied to test whether they were affected by the price instability observed after 2007. Indirectly, this could also be thought as a test of whether the increasing presence of speculators in futures markets have made them divorced from physical markets. A multivariate GARCH model was applied to compute optimal hedging ratios. No important evidence was found of a change in the hedging effectiveness after 2007.