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Realized volatility spillovers in the non-ferrous metal futures market

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References

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2010

Forecasting multivariate realized stock market volatility

162 cited

2005Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes134 cited

Cited by

2020Evaluation of cross-quantile dependence and causality between non-ferrous metals and clean energy indexes94 cited
2022Multidimensional risk spillovers among carbon, energy and nonferrous metals markets: Evidence from the quantile VAR network87 cited
2016Investigating the risk-return trade-off for crude oil futures using high-frequency data69 cited
2020Energy commodities, precious metals and industrial metal markets: A nexus across different investment horizons and market conditions65 cited
2020A random walk through the trees: Forecasting copper prices using decision learning methods39 cited
2021Forecasting the volatility of agricultural commodity futures: The role of co‐volatility and oil volatility37 cited
2017Volatility forecasting using high frequency data: The role of after-hours information and leverage effects31 cited
2020China's copper futures market efficiency analysis: Based on nonlinear Granger causality and multifractal methods29 cited
2015The course of realized volatility in the LME non-ferrous metal market29 cited
2017Volatility forecasting in Chinese nonferrous metals futures market28 cited
2017Volatility Forecasting of Non-Ferrous Metal Futures: Covariances, Covariates or Combinations?26 cited
2021Analyzing the frequency dynamics of volatility spillovers across precious and industrial metal markets23 cited