This paper estimates constant and dynamic hedge ratios in the New York Mercantile
Exchange oil futures markets and examines their hedging performance. We also introduce a …

The aim of this paper is to investigate, for the first time, the performance of trading strategies
based on the combination of technical trading rules and fundamental analysis in the sale …

This paper investigates the causal relationship between futures and spot prices in the freight
futures market. Being a thinly traded market whose underlying asset is a service, sets it …

In this paper we employ regime volatility models to describe time dependency in petroleum
markets. Using a sample of NYMEX and ICE futures contracts, we establish the existence of …

We propose a new methodology based on copula functions to estimate CoVaR, the Value-at-Risk
(VaR) of the financial system conditional on an institution being under financial distress…

This article investigates the unbiasedness hypothesis of futures prices in the freight futures
market. Being the only market whose underlying asset is a service, it sets it apart from other …

This paper investigates the dynamic relationship between oil futures and spot markets and
tanker freight rates across two major tanker routes. In particular, we examine the validity of the …

This paper estimates time-varying and constant hedge ratios, and investigates their
performance in reducing freight rate risk in routes 1 and 1A of the Baltic Freight Index. Time-varying …

This paper investigates the relationship between the dynamics of the term structure and time-varying
volatility of shipping freight rates. Using a dataset covering the period from January …

This paper investigates, for the first time, the relationship between prices and trading activity
in a market where real assets are traded, ie in the sale and purchase market for second-…