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Realized volatility spillovers in the non-ferrous metal futures market · Study

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ArticleRealized volatility spillovers in the non-ferrous metal futures market

Neda Todorova2013

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Articlebronze2013

Realized volatility spillovers in the non-ferrous metal futures market

Neda Todorova · Andrew C. Worthington · Michael Souček

76 citations·0/0 files stored·Resources Policy

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Financial Risk and Volatility Modeling Economics of Agriculture and Food Markets 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 2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility 2003A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data 2005A Tale of Two Time Scales 2008Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise 2006Realized Variance and Market Microstructure Noise 2005Separating microstructure noise from volatility

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2020Evaluation of cross-quantile dependence and causality between non-ferrous metals and clean energy indexes 2022Multidimensional risk spillovers among carbon, energy and nonferrous metals markets: Evidence from the quantile VAR network 2016Investigating the risk-return trade-off for crude oil futures using high-frequency data 2020A random walk through the trees: Forecasting copper prices using decision learning methods 2021Forecasting the volatility of agricultural commodity futures: The role of co‐volatility and oil volatility

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Year2013

Typearticle

Published2013-11-16

VenueResources Policy

ISSN-L0301-4207

Languageen

Citations76

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ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.resourpol.2013.10.008

openalex_workW2171423367

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2017Volatility forecasting using high frequency data: The role of after-hours information and leverage effects

2020China's copper futures market efficiency analysis: Based on nonlinear Granger causality and multifractal methods

2015The course of realized volatility in the LME non-ferrous metal market