This study explores the performance of volatility-based trading strategies on scheduled news announcement days. The design of the investment strategies is based on the fall of the VIX, VSTOXX, VDAX-NEW and VFTSE volatility ...

This paper examines the level of interdependence and volatility transmission in global agricultural futures markets. We follow a multivariate GARCH approach to explore the dynamics and cross-dynamics of volatility across ...

The following paper aims to study the informational content about future volatility in Implicit and historical volatility. In order to do that, using data of Petrobrás Stocks and its options from january 2010 to december ...

The COVID-19 pandemic has introduced significant uncertainty across various economic sectors, most notably in the industrial sector due to the high volatility in copper futures markets. These markets play a crucial role ...

The main contribution of this paper is to identify the strong predictive power of the relative, rather than the absolute, volume of orders over volatility. To this end, we propose a new measure, relative liquidity, which ...

Purpose: This paper aims to provide an important perspective to the predictive capacity of Organization of the Petroleum Exporting Countries (OPEC) meeting dates and production announcements for energy futures (crude oil ...

O objetivo desse trabalho é avaliar a capacidade de previsão do mercado sobre a volatilidade futura a partir das informações obtidas nas opções de Petrobras e Vale, além de fazer uma comparação com modelos do tipo GARCH e ...

Green coffee growers, most of whom are smallholders, have suffered from the significant volatility and fall in the international price of this commodity over the past decade. It is therefore crucial to understand the factors ...

Volatile compounds represent an important part of the plant metabolome and are of particular agronomic and biological interest due to their contribution to fruit aroma and flavor and therefore to fruit quality. By using a ...