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The course of realized volatility in the LME non-ferrous metal market · Study

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ArticleThe course of realized volatility in the LME non-ferrous metal market

Neda Todorova2015

Article2015

The course of realized volatility in the LME non-ferrous metal market

29 citations·0/0 files stored·Economic Modelling

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Market Dynamics and Volatility

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References

1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts 2008A Simple Approximate Long-Memory Model of Realized Volatility 2004Power and Bipower Variation with Stochastic Volatility and Jumps 1980The Extreme Value Method for Estimating the Variance of the Rate of Return 2009Expected Stock Returns and Variance Risk Premia 2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility 2006Realized Variance and Market Microstructure Noise 2012Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes

Cited by

2020A random walk through the trees: Forecasting copper prices using decision learning methods 2017Volatility forecasting in Chinese nonferrous metals futures market 2016Asset price bubbles and economic welfare 2019Time-varying international market power for the Chinese iron ore markets

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Details

Year2015

Typearticle

Published2015-08-15

VenueEconomic Modelling

ISSN-L0264-9993

Languageen

Citations29

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.econmod.2015.07.005

openalex_workW1471372887

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