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Asymmetric Information and Volatility Forecasting in Commodity Futures Markets · Study

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ArticleAsymmetric Information and Volatility Forecasting in Commodity Futures Markets

Qingfu Liu2013

Article2013

Asymmetric Information and Volatility Forecasting in Commodity Futures Markets

Qingfu Liu · Ieokhou Wong · Yunbi An · Jinqing Zhang

26 citations·0/0 files stored·Pacific-Basin Finance Journal

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

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References

1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1993Measuring and Testing the Impact of News on Volatility 1998Evaluating Interval Forecasts 1995Techniques for Verifying the Accuracy of Risk Measurement Models 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects 1994Threshold heteroskedastic models

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Year2013

Typearticle

Published2013-11-06

VenuePacific-Basin Finance Journal

ISSN-L0927-538X

Languageen

Citations26

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.pacfin.2013.10.007

openalex_workW2037005679

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