Asymmetric momentum threshold effect of copper futures returns on spot returns volatility in London metals exchange under high volatility
Year of publication: |
2020
|
---|---|
Authors: | Goo, Yeong-Jia ; Chen, Chih Chang |
Published in: |
Modern economy. - Irvine, Calif. : Scientific Research Publishing, ISSN 2152-7245, ZDB-ID 2598760-4. - Vol. 11.2020, 1, p. 51-61
|
Subject: | Returns | Volatility | Asymmetric Effect | Hybrid MTAR-GARCH | Volatilität | Kapitaleinkommen | Capital income | ARCH-Modell | ARCH model | Kupfer | Copper | Rohstoffderivat | Commodity derivative |
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