Search results for "futures"
showing 10 items of 101 documents
Dependence between renewable energy related critical metal futures and producer equity markets across varying market conditions
2022
We study the dependence of renewable energy production-related critical metal futures and producer equity returns, compared to the non-renewable energy (oil and natural gas) and some other globally relevant commodity markets. We find different asymmetric and symmetric dependencies in these commodity markets. The dependence is asymmetric in the most important critical metal markets, i.e., of silver, copper, and platinum. Still, surprisingly, for example, in the oil market, the relationship is symmetric, and no relationship is found in the natural gas market. Furthermore, the oil and agricultural markets have homogenous dependence structures in most market conditions, so the information trans…
The response of Brent crude oil to the European central bank monetary policy
2022
Este artículo examina el impacto de las decisiones de política monetaria del Banco Central Europeo (BCE) sobre los precios del petróleo y la liquidez mediante un estudio de eventos con datos intradía. Analizamos el período de enero de 1999 a diciembre de 2020, que incluye la crisis financiera que comenzó en agosto de 2007. Nuestros resultados muestran una respuesta significativa de los rendimientos del petróleo solo durante la crisis financiera. Específicamente, encontramos que los rendimientos de los futuros de petróleo crudo Brent respondieron negativamente a variaciones inesperadas en la prima de riesgo italiana como medida de acciones de política monetaria no convencionales, y positivam…
Anatomy of Risk Premium in UK Natural Gas Futures
2015
In many futures markets, trading is concentrated in the front contract and positions are rolled-over until the strategy horizon is attained. In this paper, a pair-wise comparison between the conventional risk premium and the accrued risk premium in rolled-over positions in the front contract is carried out for UK natural gas futures. Several novel results are obtained. Firstly, and most importantly, the accrued risk premium in rollover strategies is significatively larger than conventional risk premiums and increases with the time to delivery. Specifically, for strategy horizons between three and six months, this difference increases from 1% to 10%. Secondly, it is the first time that risk …
Rolling Over EUAs and CERs
2012
Whatever derivative contract has a finite life limited by their maturity. The construction of long series, however, is of interest for academic, hedging and investments purposes. In this study, we analyze the relevance of the choice of the rollover date on European Union Allowances (EUAs) and Certified Emissions Reduction (CERs) futures contracts. We have used five different methodologies to construct long series and the results show that, regardless of the criterion applied, there are not significant differences between the resultant return distribution series. Therefore, the least complex method, which is to roll on the last trading day, can be used in order to reach the same conclusions.…
Futures Past
2021
The article explores the dimension of temporality and the changes it has undergone as a result of the pandemic outbreak.
Short-Term Electricity Futures Prices: Evidence on the Time-Varying Risk Premium
2008
This paper examines empirically the relationship between electricity spot and futures prices, by analysing a decade of data for a set of short term-to-maturity futures contracts traded in the Nordic Power Exchange, Nord Pool. It is found that, on average, there are significant positive risk premiums in short-term electricity futures prices. The significance and size of the premiums, however, varies seasonally over the year; whereas it is greatest during winter, it is zero in summer. It is also found that time-varying risk premiums are significantly related to unexpectedly low reservoir levels. Furthermore, before the unprecedented supply-shock that hit the Nord Pool market around the end of…
How Brexit affects EU external action: The UK’s legacy in European international cooperation
2018
Abstract What exactly Brexit means for British engagement in European external affairs and development cooperation, is highly unclear, while its potential impact is considerable. After the general election in the UK on 8 June 2017, uncertainty regarding the direction, process and timing of the Brexit negotiations and the risk of a disorderly separation have risen further. The government position of a ‘hard Brexit’ seems no longer to be carved in stone. Yet, given the expected – total or partial – withdrawal of a major EU member state, like any area of EU politics, also European development policy faces a number of challenges: short-term problems regarding existing legal obligations, looming…
On the Pricing and Hedging of Options on Commodity Forward and Futures Contracts - A Note
2007
In recent years there appeared some organized markets for forward contracts and options on these contracts. In this paper we review shortly the organization of trade on a centralized forward market. Assuming a friction-free market with constant interest rate we build a consistent continuous time framework for the valuation and hedging of options on a forward or a futures contract. This framework takes into account the peculiarities of a forward/futures contract. In our framework we consider the pricing and hedging of options on a forward contract and reconsider the Black-76 model for the pricing and hedging of options on a futures contract.
Weather Derivatives and Stochastic Modelling of Temperature
2011
We propose a continuous-time autoregressive model for the temperature dynamics with volatility being the product of a seasonal function and a stochastic process. We use the Barndorff-Nielsen and Shephard model for the stochastic volatility. The proposed temperature dynamics is flexible enough to model temperature data accurately, and at the same time being analytically tractable. Futures prices for commonly traded contracts at the Chicago Mercantile Exchange on indices like cooling- and heating-degree days and cumulative average temperatures are computed, as well as option prices on them.
Open and Closed Positions and Stock Index Futures Volatility
2011
In this paper we analyze the relationship between volatility in index futures markets and the number of open and closed positions. We observe that, although in general both positions are positively correlated with contemporaneous volatility, in the case of S&P 500, only the number of open positions has influence over the volatility. Additionally, we observe a stronger positive relationship on days characterized by extreme movements of these contracting movements dominating the market. Finally, our findings suggest that day-traders are not associated to an increment of volatility, whereas uninformed traders, both opening and closing their positions, have to do with it.