... agricultural commodities, namely, corn, hard red wheat, oats, rice and soybeans. Design/methodology/approach The objective to the present work is to investigate for directional predictability between returns and volume (and vice versa) in the futures markets of agricultural commodities. Findings...

... types in the system, modifying the share. Findings When the system is out of equilibrium, stylized facts arise, such as fat tailed distribution of returns and volatility clustering. If speculators abandon price taking behavior, stylized facts disappear. Originality/value The modified MG...

...). There are many methodologies available to calculate VaR, and each has its limitations. Many past methods have included a normality assumption, which can often produce misleading figures as most financial returns are characterized by skewness (asymmetry) and leptokurtosis (fat‐tails). The purpose of this paper...

...Noël Amenc; Philippe Malaise; Mathieu Vaissié Purpose The development of alternative investment has not yet been accompanied by genuine consideration of the specific characteristics of the risks and returns of hedge funds with regard to the provision of information to investors. To fill the gap...