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Economic linkages across commodity futures: Hedging and trading implications · Study

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ArticleEconomic linkages across commodity futures: Hedging and trading implications

Michael Tuan Shew Chng2008

Article2008

Economic linkages across commodity futures: Hedging and trading implications

Michael Tuan Shew Chng

92 citations·0/0 files stored·Journal of Banking & Finance

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Market Dynamics and Volatility Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1995Multivariate Simultaneous Generalized ARCH 1989Why Does Stock Market Volatility Change Over Time?1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices 1980The Extreme Value Method for Estimating the Variance of the Rate of Return 1990Correlations in Price Changes and Volatility across International Stock Markets 1999Do Industries Explain Momentum?1980On the Estimation of Security Price Volatilities from Historical Data 2008Economic Links and Predictable Returns

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Details

Year2008

Typearticle

Published2008-10-30

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations92

Files0 public / 0

ShelfMarket Dynamics and Volatility

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doi10.1016/j.jbankfin.2008.10.006

openalex_workW2087736043

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2013Fixing a Leaky Fixing: Short‐Term Market Reactions to the London PM Gold Price Fixing

2016Dynamic spillovers between Shanghai and London nonferrous metal futures markets