Testing co-volatility spillovers for natural gas spot, futures and ETF spot using dynamic conditional covariances

There is substantial empirical evidence that energy and financial markets are closely connected. As one of the most widely-used energy resources worldwide, natural gas has a large daily trading volume. In order to hedge the risk of natural gas spot markets, a large number of hedging strategies can be used, especially with the rapid development of natural gas derivatives markets. These hedging instruments include natural gas futures and options, as well as Exchange Traded Fund (ETF) prices that are related to natural gas stock prices. The volatility spillover effect is the delayed effect of a returns shock in one physical, biological or financial asset on the subsequent volatility or co-volatility of another physical, biological or financial asset. Investigating volatility spillovers within and across energy and financial markets is a crucial aspect of constructing optimal dynamic hedging strategies. The paper tests and calculates spillover effects among natural gas spot, futures and ETF markets using the multivariate conditional volatility diagonal BEKK model. The data used include natural gas spot and futures returns data from two major international natural gas derivatives markets, namely NYMEX (USA) and ICE (UK), as well as ETF data of natural gas companies from the stock markets in the USA and UK. The empirical results show that there are significant spillover effects in natural gas spot, futures and ETF markets for both USA and UK. Such a result suggests that both natural gas futures and ETF products within and beyond the country might be considered when constructing optimal dynamic hedging strategies for natural gas spot prices.

Factors driving the abundance of ixodes ricinus ticks and the prevalence of zoonotic I. ricinus-borne pathogens in natural foci

Environmental factors may drive tick ecology and therefore tick-borne pathogen (TBP) epidemiology, which determines the risk to animals and humans of becoming infected by TBPs. For this reason, the aim of this study was to analyze the influence of environmental factors on the abundance of immature-stage Ixodes ricinus ticks and on the prevalence of two zoonotic I. ricinus-borne pathogens in natural foci of endemicity. I. ricinus abundance was measured at nine sites in the northern Iberian Peninsula by dragging the vegetation with a cotton flannelette, and ungulate abundance was measured by means of dung counts. In addition to ungulate abundance, data on variables related to spatial location, climate, and soil were gathered from the study sites. I. ricinus adults, nymphs, and larvae were collected from the vegetation, and a representative subsample of I. ricinus nymphs from each study site was analyzed by PCR for the detection of Borrelia burgdorferi sensu lato and Anaplasma phagocytophilum DNA. Mean prevalences of these pathogens were 4.0% ± 1.8% and 20.5% ± 3.7%, respectively. Statistical analyses confirmed the influence of spatial factors, climate, and ungulate abundance on I. ricinus larva abundance, while nymph abundance was related only to climate. Interestingly, cattle abundance rather than deer abundance was the main driver of B. burgdorferi sensu lato and A. phagocytophilum prevalence in I. ricinus nymphs in the study sites, where both domestic and wild ungulates coexist. The increasing abundance of cattle seems to increase the risk of other hosts becoming infected by A. phagocytophilum, while reducing the risk of being infected by B. burgdorferi sensu lato. Controlling ticks in cattle in areas where they coexist with wild ungulates would be more effective for TBP control than reducing ungulate abundance.