Volatility spillovers for spot, futures, and ETF prices in energy and agriculture

The agricultural and energy industries are closely related, both biologically and financially. The paper discusses the relationship and the interactions on price and volatility, with special focus on the covolatility spillover effects for these two industries. The interaction and covolatility spillovers or the delayed effect of a returns shock in one asset on the subsequent volatility or covolatility in another asset, between the energy and agricultural industries is the primary emphasis of the paper. Although there has already been significant research on biofuel and biofuel-related crops, much of the previous research has sought to find a relationship among commodity prices. Only a few published papers have been concerned with volatility spillovers. However, it must be emphasized that there have been numerous technical errors in the theoretical and empirical research, which needs to be corrected. The paper not only considers futures prices as a widely-used hedging instrument, but also takes an interesting new hedging instrument, ETF, into account. ETF is regarded as index futures when investors manage their portfolios, so it is possible to calculate an optimal dynamic hedging ratio. This is a very useful and interesting application for the estimation and testing of volatility spillovers. In the empirical analysis, multivariate conditional volatility diagonal BEKK models are estimated for comparing patterns of covolatility spillovers. The paper provides a new way of analyzing and describing the patterns of covolatility spillovers, which should be useful for the future empirical analysis of estimating and testing covolatility spillover effects.

Role of the Tryptophan Residues in the Specific interaction of the Sea Anemone Stichodacty la helianthus’s Actinoporin Sticholysin II with Biological Membranes

Actinoporins are pore-forming toxins from sea anemones. Upon interaction with sphingomyelin-containing bilayers, they become integral oligomeric membrane structures that form a pore. Sticholysin II from Stichodactyla helianthus contains five tryptophans located at strategic positions; its role has now been studied using different mutants. Results show that W43 and W115 play a eterminant role in maintaining the high thermostability of the protein, while W146 provides specific interactions for protomer−protomer assembly. W110 and W114 sustain the hydrophobic effect, which is one of the major driving forces for membrane binding in the presence of Chol. However, in its absence, additional interactions with sphingomyelin are required. These conclusions were confirmed with two sphingomyelin analogues, one of which had impaired hydrogen bonding properties. The results obtained support actinoporins’ Trp residues playing a major role in membrane recognition and binding, but their residues have an only minor influence on the diffusion and oligomerization steps needed to assemble a functional pore.