Return distributions and volatility forecasting in metal futures markets: Evidence from gold, silver, and copper
By Ahmed A. Khalifa, Hong Miao, Sanjay Ramchander. 2011
78 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Renatas Kizys
- Hong Miao
- Sanjay Ramchander
- J. Elder
- Nikolaos Antonakakis
- David Gabauer
- George Filis
- Stavros Degiannakis *
In Finance
Citations in the corpus
- Impact of macroeconomic news on metal futures (2012, background): “A survey of the literature in the metals commodities markets reveals three major research streams: (a) characterization of the distributional properties of metal prices (Khalifa et al., 2011); (b) identification of dynamic relationships between futures and spot prices of variousmetals (Kocagil, 1997”
- Dynamic spillovers between commodity and currency markets (2015, background): “(2013) and Lucey and Li (2015), who build upon the dynamic conditional correlation (DCC) methodology of Engle (2002), and Aboura and Chevallier (2014), who draw on a more advanced factor dynamic conditional correlation (FDCC) methodology of Zhang and Chan (2009) to study time-varying conditional cor”