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UID:event-12005@www.amse-aixmarseille.fr
DTSTAMP:20260421T230552Z
CREATED:20260421T230552Z
LAST-MODIFIED:20260421T230552Z
STATUS:CONFIRMED
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SUMMARY:French-Japanese webinar - Marie-Hélène Gagnon
DTSTART:20250228T080000Z
DTEND:20250228T090000Z
DESCRIPTION:How is volatility transmitted between options and futures contr
 acts\, and can this information transmission be used to generate profitable
  trading strategies? We examine the bidirectional relationship in volatilit
 y between commodity options and futures markets for key commodities to lear
 n about how each market influences the other. To this end\, we estimate vol
 atility forecasting models using random forests and we calculate connectedn
 ess and spillover measures. We find that futures volatility has a strong bu
 t short-lived impact on option volatility\, while option volatility has a l
 onger lasting effect on futures volatility\, confirming a bidirectional vol
 atility transmission. We further document important net spillovers from opt
 ions to futures. Moreover\, predictive analysis shows that option markets g
 enerally lead futures markets in terms of providing information that is rel
 evant for trading strategies. We obtain more accurate futures volatility pr
 edictions and trading strategies generate superior economic gains.\\n\\nCon
 tact: Gilles Dufrénot: gilles.dufrenot[at]sciencespo-aix.frKiyotaka Sato:Â
  sato[at]ynu.ac.jp\n\nPlus d'informations: https://www.amse-aixmarseille.fr
 /en/events/marie-h%C3%A9l%C3%A8ne-gagnon-0
URL;VALUE=URI:https://www.amse-aixmarseille.fr/en/events/marie-h%C3%A9l%C3%A8ne-gagnon-0
CONTACT:Gilles Dufrénot: gilles.dufrenot[at]sciencespo-aix.frKiyotaka Sato
 :&nbsp\;sato[at]ynu.ac.jp
TRANSP:OPAQUE
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